I would say for sure rx to rx is WRONG. There are occasions when some devices are marked up to show that the incoming rx is connected HERE but this is rare and the markings are normally to say this is the rx port and you do not want rx to rx. You will notice in the forum that the OP was questioned about rx to rx etc.
Sometimes things work even though they shouldn’t. The correct set up that many of use is the one that @psoro posted at Robot with Esp8266 Shield and Arduino Nano
The other thing that is recommended is that you disconnect rx and tx from the ESP when you are flashing the Uno as it can crash the ESP.
The reason you have the ! limited for AP is that unless you have some other magic then the ESP is not on the internet it is just a local network that will not work with Blynk’s cloud server. So you must use STA unless I am having a blonde moment.
You seem to have a fairly old firmware and my recollection was that STA was 1, AP 2 and 3 is both whereas you indicate 1 & 2 the other way round. Just checked that and with the later firmware, probably all of them, 1 is STA (the one you require). From memory you need at least 0.22 AT version with Blynk.
Ok so you don’t have a regular internet connection. You are wirelessly tethering the ESP to a phone (presumably 3G / 4G). In theory this should work but I haven’t tried it (yet) but you would still need mode 1 or 3 not 2 AP.
I think I read recently that Blynk doesn’t support GSM connections yet so this might be your problem as the tether will make it a GSM connection.