Run command:
sudo ./configure –prefix=/etc/ngin –with-http_ssl_module –with-openssl=/usr/bin/openssl –with-openssl=/usr/local/openssl-1.0.1t/

executable

root@ubuntuserver4:/usr/local/nginx-1.11.3# sudo make
make -f objs/Makefile
make[1]: Entering directory `/usr/local/nginx-1.11.3'
cd /usr/local/openssl-1.0.1t/ \
        && if [ -f Makefile ]; then make clean; fi \
        && ./config --prefix=/usr/local/openssl-1.0.1t//.openssl no-shared  \
        && make \
        && make install_sw LIBDIR=lib
/bin/sh: 1: cd: can't cd to /usr/local/openssl-1.0.1t/
make[1]: *** [/usr/local/openssl-1.0.1t//.openssl/include/openssl/ssl.h] Error 2
make[1]: Leaving directory `/usr/local/nginx-1.11.3'
make: *** [build] Error 2

Found a missing openssl-1.0.1t
Get it and re-run sudo . /configure –prefix=/etc/nginx –with-http_ssl_module –with-openssl=/usr/bin/openssl –with-openssl=/usr/local/openssl-1.0.1t/ and you’re done!