nginx gzip_static: why are the non-compressed files required?

It's possible that you've found a bug. But in general you want both files anyway, for three reasons:

1. A few clients won't request compressed data, and if you force it on them with gzip_static always; they might not understand it.
2. To ensure that the file is always found, and the request isn't passed upstream to Rails or being caught by the 404 handler (the possible bug). One of which is probably what's happening.
3. Having nginx compress or uncompress the file at runtime means it must do so repeatedly, eating up valuable CPU that could be used to run your application. It's much less CPU intensive to simply send a static resource.

Uncompressed files are not required on Nginx 1.6 with:

    location ~ \.txt$ {
        gzip_static on;
        gunzip on;
    }

Both curl http://localhost/index.txt and curl -H "Accept-Encoding: gzip" http://localhost/index.txt | gunzip now work fine with just /srv/www/localhost/index.txt.gz in my root directory.