We definitely have stores where they're using blog.yourdomain.com and linking to their Wordpress, which is a great way to do that. There isn't a way for Shopify to host your WP directory, so linking back and forth is an easy way to have each site be attached to the other and maintain any plug-ins you like on Wordpress.
We also have the Shopify for Wordpress widget that lets you bring in products and offer them to customers in the posts. :)
Please check out my StoryBook ‑ WP Blog Connector app here: https://apps.shopify.com/storybook-wp-blog-connector
The app acts as a proxy, it connects your WordPress blog with your Shopify store. All WordPress posts/categories/tags and such are instantly available within your store.
You will find most of the WordPress features available, more we implement server-side caching under the hood, there is a good chance that your Shopify blog is way faster than your original WordPress blog.