Subdomains with Cloudflare Pages

I am having some trouble understanding what needs to happen with the configuration to achieve what I want:

I want to set up blog.my-site.com and have all the routes associated to /blog in may application go through that subdomain.

So I set the CNAME blog and from the documentation the {SITE_NAME}.pages.dev as the target. I can't make that {SITE_NAME}.pages.dev/blog or the form yells at me so I assume that I would need to setup a Page Rule for forwarding?

This is where I'm super confused on how the DNS maps to my applications routes and visa versa.
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