CORS with NGINX

I embed PDF's in a webpage and it works really well. However, it does not allow links (hyper links).

Reading the SDK here: https://developer.adobe.com/document-services/docs/overview/pdf-embed-api/howtos/#  it states that these links are blocked dues to Cross-origin resource sharing (CORS) which I fully understand. 

My web server is NGINX and I have allowed this in my server with the following configuration snipnet and it still doesn't work. I have verified that the header is present in Chrome Developer.

add_header Access-Control-Allow-Origin * always;

Headers for the web page:

Headers for the actual PDF

Any ideas what I'm not doing right?

Thanks