Install or Nginx locally on the client machine. Configure your Delphi app to connect to http://localhost:8080 (plain HTTP). Stunnel converts that HTTP request to HTTPS to the outside world.
Some OpenSSL builds require specific Microsoft Visual C++ Redistributable packages. If the target machine lacks them, Windows will refuse to load the DLLs. Look for "static" OpenSSL builds to avoid this dependency. Delphi 7 Indy 9 Could Not Load Ssl Library