Working with web-development, one need to take HTTP Headers into consideration to. Not every web-application sets the headers that could help on security.

One of the headers is X-Frame-Option:

The X-Frame-Options HTTP response header can be used to indicate whether or not a browser should be allowed to render a page in a <frame>, <iframe>, <embed> or <object>. Sites can use this to avoid click-jacking attacks, by ensuring that their content is not embedded into other sites.

Source: https://developer.mozilla.org/en-US/docs/Web/HTTP/Headers/X-Frame-Options

So How to set a Default with Nginx?

In you site-configuration in Nginx, you can do as follows:

map $upstream_http_x_frame_options $frame_option {
  '' SAMEORIGIN;
}

server {
    location ~ \.php$ {
        add_header X-Frame-Options $frame_option;
    }
}

This is just a very simplified example with basic configuration missing, but I hope you get the point.

Just before the server declaration, you can use the map-function from nginx. This maps the value of $upstream_http_xframe_options to $frame_option, if the value is empty it's set to SAMEORIGIN.

This enables us in the add_header X-Frame-Options $frame_option; line to have either the header already set from the application, or the default, set by Nginx.

The application could be as simple a one PHP file

<?php
header('X-Frame-Options: DENY');
echo "Hello, World!";

With the PHP file setting the header to X-Frame-Options: DENY Nginx will let the header stay as is.

Conclusion

I believe that it's the responsibility of the application to set the correct Headers, but I think it can be helpful on server level to set a default, that catches potential security issues, if not set.