In order to provide a custom error page, you need to set it up in your Nginx configuration. To server /var/www/error/404.html for 404 errors, you can use something like:

        error_page 404 /404.html;
        location = /404.html {
                root /var/www/error/;
                internal;
        }

Check out this tutorial for all the information:

How To Configure Nginx to Use Custom Error Pages on Ubuntu 14.04