The ESP is currently working by overwriting the flash within the ESP using the Arduino IDE just like programming the Nano. No Nano required for most things.
I have not tried it, but it seems the Blynk libraries support using the ESP Lua firmware and a generic Arduino talking to it. This will probably require some tweaking around the Cayenne header files to get it compiling.
If you don't specifically need the Nano, go with a lone ESP as Rob mentioned, there is a HowTo.