Nginx - wordpress in a subdirectory, what data should be passed?

Since your location alias end match, you should just use root. Also, not everything is routed through index.php on wordpress afaik. Also, unless you know you need path info, you probably dont. I think you want something like:

location @wp {
  rewrite ^/wordpress(.*) /wordpress/index.php?q=$1;
}

location ^~ /wordpress {
    root /var/www/example.com;
    index index.php index.html index.htm;
    try_files $uri $uri/ @wp;

    location ~ \.php$ {
        include fastcgi_params;
        fastcgi_param SCRIPT_FILENAME $request_filename;
        fastcgi_pass 127.0.0.1:9000;
    }
}

or if you really do need path info (urls look like /wordpress/index.php/foo/bar):

location ^~ /wordpress {
    root /var/www/example.com;
    index index.php index.html index.htm;
    try_files $uri $uri/ /wordpress/index.php;

    location ~ \.php {
        fastcgi_split_path_info ^(.*\.php)(.*)$;
        include fastcgi_params;
        fastcgi_param SCRIPT_FILENAME $document_root$fastcgi_script_name;
        fastcgi_param PATH_INFO $fastcgi_path_info;
        fastcgi_param PATH_TRANSLATED $document_root$fastcgi_path_info;
        fastcgi_pass 127.0.0.1:9000;
    }
}

EDIT: Updated first server{} to strip initial /wordpress from uri and pass remainder as q param

EDIT2: Named locations are only valid at server level

Dude, this will work for for a wordpress blog in a subdirectory of the magento root folder!

server {
    listen 80;
    server_name my-site.co.uk;
    rewrite / $scheme://www.$host$request_uri permanent; ## Forcibly prepend a www
}

server {
    listen 80 default;
    client_max_body_size 8M;
    ## SSL directives might go here
    server_name www.my-site.co.uk; ## Domain is here twice so server_name_in_redirect will favour the www
    root /var/www/my-site/magento;

    location / {
        index index.html index.php; ## Allow a static html file to be shown first
       try_files $uri $uri/ @handler; ## If missing pass the URI to Magento's front handler
       expires 30d; ## Assume all files are cachable
    }

    location  /wordpress {
              index index.php index.html index.htm;
             try_files $uri $uri/ /wordpress/index.php;
             }

    ## These locations would be hidden by .htaccess normally
    location ^~ /app/                { deny all; }
    location ^~ /includes/           { deny all; }
    location ^~ /lib/                { deny all; }
    location ^~ /media/downloadable/ { deny all; }
    location ^~ /pkginfo/            { deny all; }
    location ^~ /report/config.xml   { deny all; }
    location ^~ /var/                { deny all; }

    location /var/export/ { ## Allow admins only to view export folder
        auth_basic           "Restricted"; ## Message shown in login window
        auth_basic_user_file htpasswd; ## See /etc/nginx/htpassword
        autoindex            on;
    }

    location  /. { ## Disable .htaccess and other hidden files
        return 404;
    }


    location @handler { ## Magento uses a common front handler
        rewrite / /index.php;
    }

    location ~ .php/ { ## Forward paths like /js/index.php/x.js to relevant handler
        rewrite ^(.*.php)/ $1 last;
    }

    location ~ .php$ { ## Execute PHP scripts
        if (!-e $request_filename) { rewrite / /index.php last; } ## Catch 404s that try_files miss

        expires        off; ## Do not cache dynamic content
        fastcgi_pass   unix:/var/run/php5-fpm.sock;
        fastcgi_param  HTTPS $fastcgi_https;
        fastcgi_param  SCRIPT_FILENAME  $document_root$fastcgi_script_name;
        fastcgi_param  MAGE_RUN_CODE default; ## Store code is defined in administration > Configuration > Manage Stores
        fastcgi_param  MAGE_RUN_TYPE store;
        include        fastcgi_params; ## See /etc/nginx/fastcgi_params
    }
}