Should work normally, as in how you typically reverse proxy sites, not how lsio makes it work.
As long as you can successfully access the site through an IP and port, like http://192.168.1.5:8080, then you just plug that address in to your nginx config.
If you CAN'T get to the site locally, then you will need to fix that first, typically by adding the appropriate port to the delugevpn container.
I reverse proxy sites through swag from a VM, from a second Unraid server, and local containers, all with no issues.
If none of this makes any sense, then you are going to need to take a crash course in how to configure nginx. It's not that hard, but there are differences in how lsio does things that make it so you need to know a little more about how it's working.