OK, now it will get complicated. Certificate based logons do not really like reverse proxies. First step is to ensure that the client has a certificate that is accepted by the SAP NetWeaver ABAP PSE. For this, the certificate must be signed by a CA that the ABAP PSE trusts.
Log on the WD admin and select PSE Management
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Select Recreate PSE.

In the DN field, use the name of the WD: CN=wd.tobias.de. The other information is optional, but should be added.
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Right now, the certificate is created and the PSE has a private key, but the certificate is self-signed. To have an official certificate, it must be signed by a CA. To do this, select: “Create a CA Request” to create a CSR that will be send to the CA.

Create CA Request

Save the output in a TXT file, send it to your CA, let it get signed. Then, go back to WD admin and import the CA response.

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The client PSE updates the issuer information. Now there must be shown the DN of the CA. In my case: C=BR, O=EJBCA, CN=ca.tobias.de
