Isso me levou um tempo para trabalhar. A chave está na linha try_files.
# Default location to serve
location / {
# If the file can't be found try adding a slash on the end - it might be
# a directory the client is looking for. Then try the Wordpress blog URL
# this might send a few requests to PHP that don't need to go that way
try_files $uri $uri/ /blog/index.php?$args;
}
Aqui está outro bit que eu achei útil
# Add trailing slash to */wp-admin requests.
rewrite /blog/wp-admin$ $scheme://$host$uri/ permanent;
Aqui está outro bloco de localização que usei, apenas como um exemplo
# Rate limit wp-login.php to help prevent brute force attacks
location = /blog/wp-login.php {
# Next line applies the rate limit defined above
limit_req zone=login burst=3;
fastcgi_keep_conn on;
fastcgi_pass php56-fpm;
include fastcgi_params;
fastcgi_param SCRIPT_FILENAME $document_root$fastcgi_script_name;
more_clear_headers "Cache-Control";
more_clear_headers Server; more_clear_headers "Pragma"; more_clear_headers "Expires";
# No caching
more_clear_headers "Cache-Control";
add_header Cache-Control "private, max-age=0, no-cache, no-store";
more_clear_headers "Expires";
}