Description:
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If we call php-fpm with SCRIPT_FILENAME=/some.php it will return http status 200 and blank page. At the same time php-fpm's access.log will contain:

24/Aug/2017:21:51:33 +0300 "- " 200 - 3.682 256 0.00% GET

I expect to receive some error message instead.

It looks like this is rather known problem and since error message is not very evident it may take days to debug it! It's easy to step on this problem since default nginx configuration sometime has:

fastcgi_param  SCRIPT_NAME        $fastcgi_script_name;

instead of:

fastcgi_param  SCRIPT_FILENAME  $document_root$fastcgi_script_name;

And now consider this two cases! In second case if I request notexisting script I'll receive status 404 with "File not found." in the body. And in the first case:

< HTTP/1.1 200 OK
< Server: nginx
< Date: Thu, 24 Aug 2017 18:51:33 GMT
< Content-Type: text/html; charset=UTF-8
< Transfer-Encoding: chunked
< Connection: keep-alive
< Keep-Alive: timeout=20
< X-Powered-By: PHP/5.6.30-pl0-gentoo
< 
* Connection #0 to host rc.online.telekarta.tv left intact

Status 200 and no body. Why do we have this difference?

And I'm not alone with this problem: http://beutelevision.com/blog2/2013/08/26/nginx-with-php-fpm-generating-blank-page/ and in other places of the internet. 

What is the reason for this behaviour? Can we have this fixed?

Test script:
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No script required.