If the likelihood that the dependencies for the version of a package that is in the release of Ubuntu (or other Debian derived arrangements) is the same as the deps for the version you are trying to build, you could run apt-get build-dep nginx or aptitude build-dep nginx - this will not install the nginx package but will instead install all those listed as dependencies (and their dependencies, as usual) which includes libssl-dev (the package that you are currently looking for).