I think that it's because nginx is not detecting that the upstream is down because it's on the same machine.
The options that you're looking for are: proxy_next_upstream and proxy_connect_timeout.
Try this:
location / {
        proxy_pass              http://lb;
        proxy_redirect          off;
        proxy_next_upstream     error timeout invalid_header http_500; #헤더가 500이거나, 응답이 없거나, 에러거나 할 경우 다음 서버로 넘김
        proxy_connect_timeout   2; # 2초 이후에
        proxy_set_header        Host            $host;
        proxy_set_header        X-Real-IP       $remote_addr;
        proxy_set_header        X-Forwarded-For $proxy_add_x_forwarded_for;
}