I have setup my LEMP stack and nowhere was VHOST mentioned. But I see it referred to in places, vaguely, 'update your VHOST file' such as in q/a of https://www.digitalocean.com/community/tutorials/how-to-set-up-wordpress-multisite-with-nginx-on-ubuntu-14-04 but nowhere was it mentioned - have I missed something?
I can see how this could be confusing. When the person commenting referred to a VHOST file they were referring to the configuration file you set up in /etc/nginx/sites-enabled/
For a little background, VHOST is short for VirtualHost. This term is used by the Apache webserver with <VirtualHost> being a section in the configuration file. On nginx this is done with "server blocks" that start with server {.
In both cases the configuration uses the name requested to know which site is being asked for instead of each site having it's own IP address. Each of these sites may be called "Name-based virtual hosts" or VHOSTs for short.