When using a helm proxy, the URLs within the index.yaml are re-written to be relative to the location of the index.yaml.
This is usually fine as it is the general case. However, in some cases the index.yaml is on a different server, and this is perfectly valid according to https://helm.sh/docs/topics/chart_repository/
As a more concrete example, the index.yaml for ingress-nginx is here: https://kubernetes.github.io/ingress-nginx/index.yaml
However, the packages within the index.yaml are under a different location and a relative path will not work: https://github.com/kubernetes/ingress-nginx/releases/download/ingress-nginx-2.11.0/ingress-nginx-2.11.0.tgz
Note how kubernetes.github.io is not the same as github.com/kubernetes
It should be possible for Nexus to map the URLs as necessary such that all subsequent requests go through the repository but to the correct endpoint.