I know this post is kind of old but after spending many hours on trying to make the fonts work on my nginx local machine and trying a tons of solutions i finally got the one that worked for me like a charm.
location ~* \.(eot|otf|ttf|woff|woff2)$ {
add_header Access-Control-Allow-Origin *;
}
Inside the parenthesis you can put the extensions of your fonts or generally the files that you want to load. For example i used it for fonts and for images(png,jpg etc etc) as well so don't get confused that this solution applies only for fonts.
Just put it into your nginx config file, restart and i hope it works also for you!