When you use nginx, just like apache, by default the Magento URL has index.php. That is fine for Magento development, but very ugly and not search engine optimized. So, the fix, just like apache is a pretty simple one. I am not too sure if there are any implications to this version of removing it, but it seems to work. In you nginx configuration file, you need to add 1 line of code:
rewrite ^/index.php/(.*) /$1 permanent;
This may not work 100% as much as I had hoped. In the Magneto admin it was not allowing my caches to be cleared. You may need to turn on SEO Urls and maybe do some other tweaks to get this to work properly. If I can find an awesome solution I will be sure to update this.