Here is our setting
Server runs nginx latest build
Main site runs latest WP installed on www.domain.com
Forum runs the beta 3 Xenforo on www.domain.com/forum/
We contacted the author of nginx, tested, retested but all things point to XF. The problem appears to be that Xenforo is not working with fastcgi, only asapi.
I hope we are not the only people who have this particular setup. Since nginx and Wordpress have been around for long, hopefully someone running this can jump in and offer input.
Blandt is betting that I won't find anyone out there running this.