I don't know the Blynk app but as far as I know it should be (easily) possible to connect the Mega and ESP via serial. Have you already installed the ESP8266 core for Arduino IDE? https://github.com/esp8266/Arduino
It should take the route: wifi command via browser -> ESP webserver (see #include <ESP8266WebServer.h>) -> ESP serial TX -> Mega RX. The Mega could parse the input and act on that.
May this is a starting point: http://www.martyncurrey.com/arduino-to-esp8266-serial-commincation/
Best!