Well, now I feel dumb. Looked through a few other threads here and someone mentioned that if the proxy server did not support web sockets, there would be an issue.
So, if anyone uses OPNsense and wants to run NGINX on the firewall, you have to make sure this box for WebSocket Support is checked in the advanced options of NGINX–> Configuration → HTTP(s) → Location for your HomeAssistant instance.
Once I did that, it worked great.
edit to include link to other thread that helped me.