What's the benefit of using Nginx to serve a Flask API on AWS?
Unless you are using the AWS API Gateway, you'll still need some way of "serving" your Flask API.  You will also need to provision an EC2 instance and run something to serve your API.  Instead of running a windows EC2 instance with IIS you can save about 50% operating cost and use Nginx on a linux EC2 instance.  Additionally, Nginx can be used as a reverse proxy, and supports caching which you may find beneficial.

However, because you are using an Application Load Balancer and are looking into Gunicorn to serve the API you probably don't need Nginx, and it would just require more overhead for deployments if you are not going to setup any of the features in Nginx.