Why my nginx server receives requests targeting ads.yahoo.com?

It seems like they are trying to use your web server as an open proxy. As long as you don't see your servers responding with a 200 OK, you shouldn't be worried.

UPDATE:

Although there may be ways to handle this with builtin nginx functionality, I found easier to install/enable mod_security and let him handle this and other nasty attacks. As you'll see in the logs below, somebody is trying to reach wikipedia through my server, mod_security knows that this this is an anomaly an takes an appropriate action (It returns a 403 forbidden response). This is an Apache server but it should be exactly the same in nginx.

--817ee627-A--
[03/Feb/2014:22:26:01 +0300] Uu-tScDjiOsAAALeENQAAAAA 178.19.107.26 52735 1.2.3.4 80
--817ee627-B--
GET http://wikipedia.pl HTTP/1.1
Host: wikipedia.pl
Accept: */*
Proxy-Connection: Keep-Alive

--817ee627-F--
HTTP/1.1 403 Forbidden
Content-Length: 202
Connection: close
Content-Type: text/html; charset=iso-8859-1

--817ee627-E--

--817ee627-H--
Message: Access denied with code 403 (phase 1). Match of "rx ^(?i:(?:[a-z]{3,10}\\s+(?:\\w{3,7}?://[\\w\\-\\./]*(?::\\d+)?)?/[^?#]*(?:\\?[^#\\s]*)?(?:#[\\S]*)?|connect (?:\\d{1,3}\\.){3}\\d{1,3}\\.?(?::\\d+)?|options \\*)\\s+[\\w\\./]+|get /[^?#]*(?:\\?[^#\\s]*)?(?:#[\\S]*)?)$" against "REQUEST_LINE" required. [file "/etc/httpd/modsecurity.d/activated_rules/modsecurity_crs_20_protocol_violations.conf"] [line "52"] [id "960911"] [rev "2"] [msg "Invalid HTTP Request Line"] [data "GET http://wikipedia.pl HTTP/1.1"] [severity "WARNING"] [ver "OWASP_CRS/2.2.6"] [maturity "9"] [accuracy "9"] [tag "OWASP_CRS/PROTOCOL_VIOLATION/INVALID_REQ"] [tag "CAPEC-272"]
Action: Intercepted (phase 1)
Stopwatch: 1391455561096692 260049 (- - -)
Stopwatch2: 1391455561096692 260049; combined=104238, p1=104194, p2=0, p3=0, p4=0, p5=43, sr=104028, sw=1, l=0, gc=0
Response-Body-Transformed: Dechunked
Producer: ModSecurity for Apache/2.7.3 (http://www.modsecurity.org/); OWASP_CRS/2.2.6.
Server: Apache
Engine-Mode: "ENABLED"

*1.2.3.4 = I replaced my IP address with this fake IP. I don't need any more strange packets knocking my door :)