I'm not sure about the file I need. The howto I briefly tried to follow directed me to modify /etc/fail2ban/jail.local.
But even when I deleted all references to nginx in that file I saw:
Starting fail2ban: ERROR No file(s) found for glob /var/log/nginx/error.log
ERROR Failed during configuration: Have not found any log file for nginx-http-auth jail
What files did you modify? I think I need them all.