This is a full example for running an oauth2-proxy covered by a nginx as reverse proxy, using the auth_request parameter in combination with a required role to mach a location. See oauth2-proxy/oauth2-proxy#1614 for discussion.

Suppose we have Location (A) that should allow access only to users having role roleA

location ^~ /roleAOnly/ {
    auth_request /oauth2/auth/rolea;
    error_page 401 = /oauth2/sign_in;

    auth_request_set $user $upstream_http_x_auth_request_user;

    proxy_pass http://guacamole-guacamole:8080;
    proxy_buffering off;
    proxy_http_version 1.1;
    proxy_set_header X-Forwarded-For $proxy_add_x_forwarded_for;
    proxy_set_header Upgrade $http_upgrade;
    proxy_set_header Connection $http_connection;
    access_log off;
}

(Remark) auth_request does not accept query parameters, thus we are cloaking the role roleA as part of the url.

Here is the customized oauth2/auth location matching the url and extracting it as query parameter to pass to oauth2-proxy:

location ~ ^/oauth2/auth/(.*)$ {
    internal;
    
    resolver 127.0.0.11 valid=30s ipv6=off;
    set $upstream_oauth2_proxy http://oauth2-proxy:4180;

    set $args $args&allowed_groups=role:$1;
    rewrite ^/oauth2/auth/(.*)$ /oauth2/auth break;

    proxy_pass $upstream_oauth2_proxy;
    proxy_set_header Host $host;
    proxy_set_header X-Real-IP $remote_addr;
    proxy_set_header X-Scheme $scheme;
    # nginx auth_request includes headers but not body
    proxy_set_header Content-Length "";
    proxy_pass_request_body off;
}

With set $args we are extracting the role and embedding it into $args&allowed_groups=role:$1 to pass to the proxy backend. The following rewrite rule does remove the /roleA part to continue with the rest as expected.