I found the problem, it had nothing to do with Grafana, but within NGINX. In the config file pmm-ssl.conf it had the line “add_header X-Frame-Options DENY;”. I was looking at the wrong source.
For anyone else looking to embed panel within HTTPS site, here is your answer. Besides settings within Grafana.ini you need to set in /etc/nginx/conf.d/pmm-ssl.conf the X-Frame settings