I'm also interested in a solution for this.
@Pablo - the benefit of running nginx and Apache in this configuration are that you use nginx for serving static pages (nginx being an event-based web server) and all PHP requests are handed off to Apache to do the heavy lifting (Apache being process-based). This way Apache isn't drilling into server memory just to serve static pages as nginx can handle that more efficiently.
@Kamal - adding proxy_redirect off; to the server block doesn't fix this. When you send the login request, nginx passes off the request to Apache for processing, but I believe that Apache is trying to send the request straight out rather than back to nginx.
@xpbazsi - have you tried changing the authentication method from cookie to another method e.g. http? PMA documentation lists some info about cookie auth not working from an Apache reverse proxy (http://docs.phpmyadmin.net/en/latest/faq.html#faq1-40)