Dropping HTTP Requests and Connection Efficiently on Nginx

location /banned/url {  
  return 444;
}

From How nginx processes a request:

...and a special nginx’s non-standard code 444 is returned that closes the connection.

Basically, match the URL/pattern..etc that you want to handle and then do a return 444; It will make nginx drop the connection without even bothering to return a response to the client.