If you choose to use two WordPress installations, one in subfolder /blog and the other subfolder /cms, whatever you specify in the Blog address (URL): field (see the documentation I referenced above) for each will be what you type (as a URL) to get to the blog. It sounds to me like you want to type http://www.mysite.com in the field for the /cms installation, and http://www.mysite.com/blog for the /blog installation.
The URLs for pages and posts will be determined by how (and if) you define the Permalinks for each WordPress installation.
I'm not sure that you aren't creating more grief for yourself than whatever you hope to gain by having two WordPress installations, as much of the automated menu creation mechanisms are based on a single WordPress installation. I've thought about it quite a bit and the only disadvantage I can think of, for sharing a single WordPress installation for both blog and CMS, is that you would have to limit yourself to a single Theme for both. Posts for the Blog and Pages for the CMS, except perhaps a Page for the Blog home page. The Blog home page could even use a different template than the CMS pages, if you wanted the structure to be different. I, for example, would probably had a sidebar on the Blog home page, but not on the rest of the CMS pages.
Just a thought.