WP Engine does not support mounting your WordPress install in the sub-directory of your domain for a single site install (setting up sub-sites in sub-directories in a MultiSite install is supported). In other words, no more domain.com/blog. If you have a wordpress install that is going to share a domain with another website then we recommend using a sub-domain set up like blog.domain.com.
Having your install live in /blog is not a good set up for various reasons. All of the traffic is going to proxy through the server that the main site is on. That means if the server for your main site goes down, so does your WP Engine site, even if our servers are running perfectly.The same holds true to any latency that may be present on the main site’s server.
There are also some key features that you can not make use of when you use this type of configuration, most notably are the one-click restore and staging area.
Please be aware, if you must use this type of configuration we will not assist in setting it up and the support you receive thereafter will be limited.