The /etc/nginx/nginx.conf file has:
add_header X-Frame-Options SAMEORIGIN;
How to override X-Frame-Options header to some sites in bx/site_enabled/*.conf files?
It turned out that for https sites, you need to specify the
add_header X-Frame-Options "ALLOW-FROM https://site2/ " command;
in bx_ext_ssl_site1.conf files