File proxying with nginx?

Question

Nginx

Good day, there was a need to proxy the files tied to the ip address of the server. For at request on the client of the last it throws on 404 an error.
What is given: installed nginx, location like site.ru/p/
What needs to be done so that the file is proxied, or rather the music, that is, we make a request site.ru/p/ https://site2.ru/1/2/3 .mp3?bla=bla, and nginx, in turn, gives the client a specific file without downloading. I did this in php, but as for me, the load on a not very powerful virtual machine is high. Is it possible to implement this only by means of nginx?