Use Hugo's 404 page.

conf.d/www.nehe.sr.conf

@@ -18,5 +18,5 @@ server {
     include             snippets/security-txt.conf;
     include             snippets/ssl.conf;
     root                /var/www/www.nehe.sr/;
-    error_page 404      /;
+    error_page 404      /404.html;
 }