How I can return the appropriate HTTP status code?

nginx should just be forwarding the status code returned from Apache; nginx doesn't modify outgoing responses at all.

Could you show us an example URL where this is happening?

Sure,

An inexistent page: http://joedicastro.com/noexists.html
Custom error page: http://joedicastro.com/notfound.html

Using

wget -S --spider http://joedicastro.com/noexists.html

We have:

http://joedicastro.com/noexists.html
...
  HTTP/1.1 302 Found
...
http://joedicastro.com/notfound.html
...
  HTTP/1.1 200 OK

Both of those are working correctly for me with curl and wget:

$ curl -sI http://joedicastro.com/noexists.html
HTTP/1.1 404 Not Found
Server: nginx

$ curl -sI http://joedicastro.com/notfound.html
HTTP/1.1 200 OK
Server: nginx

$ wget -S --spider http://joedicastro.com/noexists.html
...
HTTP/1.1 404 Not Found
Server: nginx

$ wget -S --spider http://joedicastro.com/notfound.html
...
HTTP/1.1 200 OK
Server: nginx

Are you sure you're hitting the right URLs?

You're right. The problem is solved now.

I had a wrong Apache directive (a lapse, maybe)

ErrorDocument 404 http://joedicastro.com/notfound.html

instead the correct

ErrorDocument 404 /notfound.html