Custom Post Type with Nested Taxonomy and Template Files

That is expected and how Template Hierarchy works. I know there was a track ticket raised a couple of years ago regarding this issue if to an index for archives should be introduced in core or not. (EDIT: Found the ticket, check it out here: Ticket #13816 There should be built-in index pages for taxonomies) That idea was scrapped and will never see light in core. So there will always be that gap for an archive index page in the Template Hierarchy

You can, however, create an index page for all your separate archives with the use of page templates. For instance, create a new page, add whatever you need to add to that page, and assign it a slug of category. Now, when you visit domain.com/blog/category/, you’ll see the content/index page you have created.

Apart from that, there are no other solution that I know of.

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