Finally got it to work with
./bin/elasticsearch-setup-passwords auto -u "https://localhost:9200"
It would be great if this were somewhere in the documentation about how to set things up with docker. I could not find it easily.
My confusion was that "https://www.elastic.co/guide/en/x-pack/current/setting-up-authentication.html#set-built-in-user-passwords" implies it is current documentation, but it apparently is NOT the most up-to-date documentation. And when you click through to the "current" documentation you just get a table of contents.