A simple solution would be to create an A post that you mentioned in your question, and then put index.html in the blog / directory in the application engine, which contains
window.location = "http://blog.mydomain.com"
as the onload function of the body tag.
Another solution is to add a .htaccess file that redirects http://www.mydomain.com/blog to http://blog.mydomain.com .
Edit: as indicated in the comment below, appengine does not support this method. I leave this so that he can help someone who has a similar question, not related to the application engine.
A similar redirect will be required for a domain without www in front of it.
Edit for a better htaccess example:
RewriteEngine on
RewriteCond %{HTTP_HOST} ^(www\.)?mydomain\.com$
RewriteRule ^blog/(.*) http://blog.mydomain.com/$1 [R=301,L]
htaccess, , , -, .