Posted this as a bug here along with a workaround.
Turns out the gem version is broken anyway and the module needs to be
installed from source
$ wget sugi.nemui.org/pub/ruby/fcgi/ruby-fcgi-0.8.6.tar.gz
$ gunzip -c ruby-fcgi-0.8.6.tar.gz | tar xf -
$ cd ruby-fcgi-0.8.6
$ ruby install.rb config
$ ruby install.rb setup
$ ruby install.rb install
Now everything is working fine.