I recently bought Amazon echo dot and I already have Arduino mega and Ethernet shield connected to Blynk server. Now I want to control some relay by simply voice command to echo dot. Can anyone tell me how can I do that?
Have you asked your Echo that question? What did she say?
I bet she would recommend searching this forum for some key words… perhaps Amazon Echo 
She said "You don’t have any smart home device nearby. "
Cheeky little dot 
I think you have a couple of choices…
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Flash your MCU with code that makes it emulate another device (WeMo, Phillips Hue etc)
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Use Node-Red
Either way, I’d suggest that you use an ESP8266/NodeMCU instead of your Arduino + Ethernet shield. Take a look at the Wemos D1 Mini (don’t get confused between the Wemos and WeMo, they’re completely different).
I already use a Raspberry Pi running Node-Red as the heart of my home automation setup. This integrates with Blynk and works very well, so for me it was a no-brainier which route to choose.
If you just want one or two devices controlled by Alexa then it’s not worth the effort/expense to set-up a Pi to work in this way, so you may be better going down the emulation route.
Take a careful look at the type of voice commands you need to use to control your devices. If you search this forum for ‘natural voice commands’ you’ll see what the potential issues are, and how to avoid them.
Pete.