I could solve this in particular condition where we use subdomain to pointing to the WordPress site and the Wordpress site itself is installed on a host provider that is using cPanel.
Formerly I simply set CName on subdomain blog.mydomain.com to the subdomain where my Wordpress site is installed. Unfortunately this pointing was resulting a redirection like this:
http://blog.mydomain.com/cgi-sys/defaultwebpage.cgi
Searching for a solutiom then I found this documentation:
https://wordpress.org/plugins/wordpress-mu-domain-mapping/installation/
It is actually a documentation for a plugin to map any blog/site on a WordPressMU or WordPress 3.X network to an external domain. I didn't install the plugins I just marked that for cPanell users we need to put the mydomain.com as a parked domain in cPanel where the Wordpress site is installed.
So with the cPanel I uninstalled my WordPress and rearrange the installation step as below:
1. Put mydomain.com as a parked domain
2. Re install WordPress using blog.mydomain.com
Viola! The blog.mydomain.com is running the WordPress perfectly and stay in blog.mydomain.com without any error or redirection to other domain.