Thank you for your help Nurahmadi.  I will look for gitlab forum solutions.

If I move the following location section inside the gitlab-http.conf file
both GitLab and Jenkins proxy_pass will works

Assuming that modifying the omnibus version of gitlab-http.conf is the only
way to make it work, then my problem has changed 
to how do I maintain gitlab-http.conf?

My problem is that all modifications will be destroyed if I ever run
gitlab-ctl reconfigure. 

Hopefully I can find a gitlab user forum to research solutions to
maintaining custom code in 
gitlab-http.conf

  location ^~ /jenkins {
    proxy_pass          http://localhost:8081;
    proxy_read_timeout  90;
 
    # Fix the “It appears that your reverse proxy set up is broken" error.
    proxy_redirect      http://localhost:8080 $scheme://example.com;
 
    # Optionally, require HTTP basic auth.
    # auth_basic "Please authenticate to use Jenkins";
    # auth_basic_user_file /opt/nginx/htpasswd;
  }

Posted at Nginx Forum: 
https://forum.nginx.org/read.php?2,262255,262283#msg-262283

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