So I had the same issue. Tried and failed at a few approaches based on a few other stack answers and articles I had stumbled on. This is the XML for the rewrite/redirect rules that ended up working for me:
<rules schema-version="2" rulesetversion="10" rulesetid="960471" xmlns="http://www.whitecdn.com/schemas/rules/2.0/rulesSchema.xsd">
<rule id="1871708" platform="http-large" status="active" version="5" custid="AA123">
<description>Redirect HTTP to HTTPs</description>
<!--If-->
<match.request-scheme value="http">
<feature.url-redirect code="301" pattern="/80AA3CF/myblog/(.*)" value="https://blog.mydomain.com/" />
</match.request-scheme>
</rule>
<rule id="1871579" platform="http-large" status="active" version="0" custid="AA123">
<description>Rewrite to index.html</description>
<!--If-->
<match.always>
<feature.url-user-rewrite pattern="/80AA123/myblog/((?:[^\?]*/)?)($|\?.*)" value="/80AA123/myblog/$1index.html$2" />
<feature.url-user-rewrite pattern="/80AA123/myblog/((?:[^\?]*/)?[^\?/.]+)($|\?.*)" value="/80AA123/myblog/$1/index.html$2" />
</match.always>
</rule>
</rules>
Note that the Rewrite had to appear after the Redirect, and that the Redirect is to a static path - in this case my root domain that the cdn is caching.