Is it possible to use modify nginx config file and use X-Accel-Redirect on Heroku?
Although Heroku seem to be using Nginx for their reverse-proxy component, the thing about a platform-as-a-service stack like this is that no individual tenant has to (nor even gets to) configure or tune distinct elements of the stack for any given application.
Requests in and out could be routed through any number of different elements to and from your Rails app so it's their platform infrastructure (and not any particular tenant) that manages all of the internal configuration and behavior. You give up the fine-grained control for the other conveniences offered by a PaaS such as this.
If you really need what you've described then I'd suggest you might need to look elsewhere for Rails app hosting. I'd be surprised if their answer would be anything else but no.