Solved problem
Ubuntu 24.04 minimal install.
NGINX was taken not from standard Ubuntu repositories, but from nginx.org.
Zammad installer tries to create zammad.conf:
# Starting Zammad
cp: cannot create regular file '/etc/nginx/sites-available/zammad.conf': No such file or directory
ln: failed to create symbolic link '/etc/nginx/sites-enabled/zammad.conf': No such file or directory
As I understood after googling a little, these two folders are debian/ubuntu specific. A “vanilla” nginx package use /etc/nginx/conf.d folder for configs.
So, you need to manually create /etc/nginx/sites-available/ and /etc/nginx/sites-enabled/ folders before installing Zammad and add them to include statement in /etc/nginx/nginx.conf or you need to manually copy /opt/zammad/contrib/nginx/zammad.conf to /etc/nginx/conf.d folder.