I'm running an app on Heroku and I'm having trouble coming up with a similar solution that you gave for http://www.senanyc.com/blog/. What's amazing is that if you go to http://senanyc.tumblr.com (which I guessed was their tumblr subdomain) it links back to http://www.senanyc.com/blog/. They're doing this with some javascript
if (location.host == 'senanyc.tumblr.com')
location.replace(location.href.replace('senanyc.tumblr.com', 'www.senanyc.com/blog'));
All the tumblr post urls are short tumblr.co urls that eventually point to senanyc.tumblr.com as shown here: http://longurl.org/expand?url=http%3A%2F%2Ftmblr.co%2FZQDX0yQP2NQm
My guess is that they're using a reverse proxy to serve up the tumblr blog through http://www.senanyc.com/blog/ After that, they use JS to replace the tumblr subdomain with their subdirectory. Since none of the URLs resolve to the subdirectory, this severely limits their SEO capability.
So far I've been able to use a reverse-proxy (implementation of that depends on your stack) to have my server serve up my tumblr's content to a user. The problem with that is the links in the tumblr blog are all absolute using the tumblr subdomain (myblog.tumblr.com). In the process of serving up the page in the reverse-proxy I could replace all (myblog.tumblr.com) with (www.mysite.com/blog) and that should work.
I want to be able to have my blog SEOable under my subdirectory. I've yet to figure that out...