Do you expect anyone would ever type www.blog.mysite.com anyway? "www" is a subdomain like "blog", so it's unlikely that anyone would type them both.
Anyhow, I have a subdomain on my site, and if I type "www." before it the browser just goes to the subdomain anyway. Perhaps that's because I redirect "www" to the non-www version for the domain name anyway.
Just to clarify, do you prefer your site to show "www" in the address or not?