Have a look at the Routing article in the Craft Documentation, it describes why Craft handles these request in the first place:
The .htaccess file that comes with Craft will redirect all would-be 404 requests over to index.php behind the scenes, which is why Craft is able to respond to URLs that don’t point to any actual folder/file in your web root.
A fresh Craft install's .htaccess file looks like so:
<IfModule mod_rewrite.c>
RewriteEngine On
# Send would-be 404 requests to Craft
RewriteCond %{REQUEST_FILENAME} !-f
RewriteCond %{REQUEST_FILENAME} !-d
RewriteCond %{REQUEST_URI} !^/(favicon\.ico|apple-touch-icon.*\.png)$ [NC]
RewriteRule (.+) index.php?p=$1 [QSA,L]
</IfModule>
You'll notice that favicons are removed from the redirect. Add a similar RewriteCond for blog/ to also exclude request to your WordPress folder from this condition.
RewriteCond %{REQUEST_URI} !blog [NC]