Is this possible? A multisite with “www.example.com/en/blog/” and “www.example.com/cn/blog/” (two directories deep)

Yes, your requirements are possible.

As addition, you can also use different domains for each language, like

• http://www.example.cn/blog/
• http://www.example.ru/blog/
• http://www.example.jp/blog/

if you need also relationsships betweent the posts of different sites, in your context languages, you can realize this via custom code or an existing plugin, like Multilingual Press.