So when you use the ESP as a “shield” style connection, the ESP needs to have AT firmware and connected to a Tx/Rx pair on the mega for it to communicate on. This style of connection works good but honestly not as well as using the ESP alone or using MQTT. Here are instructions for a 8266 but should work on the 13 too. The main thing is you need to get AT firmware on the ESP and then a different library for cayenne. Another important note, you can’t use Serial Monitor if you have the ESP & Mega connected to each other by Serial. To get around this on a mega, you can either use a different set of Serial connection like Serial1 or Serial2 for the ESP communication, or us a FTDI adaptor on those and set the sketch to print to tthem rather than the main Serial. Check out this tutorial and see how it goes.