It's not a known issue, no, but also not likely to be a bug, either.
On the occasions where we have seen this it has been a situation whereby the site is available on multiple URLs, e.g. a http:// and a https:// version.
I can't reproduce that on your site but certainly worth reviewing whether you have any URL redirections, such as from an old domain to a new domain. If you aren't already, the best way of doing that isn't necessarily through nginx or Apache redirection/rewrite rules but instead by enabling the "Board URL canonicalization" option in XF.
There may be other situations where this might occur but that's the most common one.
Simply put, the request to the web server isn't including the relevant cookies so it may break things like CSRF token validation or make it appear as though the user is logged out.