I have no knowledge of PI at all, but I assume it's not much different than hosting on any other variant of linux.
There's two ways. The first is documented on the Wiki:
https://github.com/NancyFx/Nancy/wiki/Hosting-Nancy-with-Nginx-on-Ubuntu
Basically the idea is to use nginx web server to delegate calls to a self-hosted app.
The second is to use nginx, with mono-fastcgi-server4 to handle the requests. This works more like a traditional website rather than a website delegating requests to another service.
I've blogged the process here:
http://www.philliphaydon.com/2013/06/setting-up-mono-on-nginx/
http://www.philliphaydon.com/2013/07/setting-up-a-nancyfx-website/
In theory the first solution should allow you to use OWIN and host other things such as SignalR, while my solution does not, since nginx doesn't support integrated pipeline there's no way for OWIN to work, and I haven't successfully got SignalR to work with it.