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I think this is right but to make it work you'd need to do one of two things to pull it off. First off, if you're doing it just for Web the nginx proxy putting original ip in the header and unpacking on the other side is the smart move. Otherwise.
1: route all your traffic on your side via the vpn, and have the routing on the vpn side forward the packets to the intranet ip on your side not do dnat on it.
2: if you want to route normal traffic over your normal link then you could do it with source routing on the router. You would need two subnets, one for your normal Internet and one for the vpn traffic. Setup source routing to route packets with the vpn ip addresses go via vpn and the rest nat the normal way then the same as before, vpn on cloud forwards not nat to your side of the vpn.
In both cases snat should be done on the cloud side.
It's a fiddly setup just to get the ip addresses though.
I think you meant to reply to another comment. I never talked about setting up NAT rules, neither source, nor destination.
The proxy is responsible for responding with the correct IP address as it terminates the connection. Setting up NAT rules is not needed.
Well, I was replying to OP through your reply since it was pretty much spot on. Except I was giving some idea of other ways to bring the original IP through a VPN using the linux ip stack features. Whatever way they go about it, it's a lot of effort for not that much upside though.