Hosting wordpress under my domain

Hi,

I have a .net site (https://www.mysite.com) which hosted in a .net server. I created a wordpress blog and hosting it in a PHP server (different from the .net one).

What I would like to do is have https://www.mysite.com/blog to be the URL of the blog (not just a redirect, I would like that the URL will stay like this when browsing the blog). I am using a proxy software called Enfold Proxy on the .Net server to host the blog IP under https://www.mysite.com/blog. when doing so with a different site on the PHP server I have no issues or problems which means that the proxy is working. But when trying to do so with the wordpress when going to thtp://www.mysite.com/blog I am redirected to the IP. I think that this indicate that this is some kind of setting in wordpress.

Does anyone have an idea how to solve this?

Many thanks,
Danny.