There is no fixed answer to this, unless myfun is known and is nice enough to be analysed theoretically. In general, I would do the following:
1. Look at the residuals, Y - myfun(X, beta0). (Here beta0 are your coefficient estimates).
2. Try to determine the distribution of the residuals.
3. Generate many realizations of Y using Y = myfun(X, beta0) + R, where R is generated randomly according to the distribution found in (2). To each realization, do an nlinfit and find the vector beta0_y.
4. Look at the distribution of beta0_y. It may be identifiable as a known distribution or not. Regardless, you can find confidence intervals from it.