When using
wp_page_menu(array(
'show_home' => 'Blog'
));
WordPress will generate a list of page links and add a link to the homepage with title "Blog" at first link. While surfing the homepage ("Blog") the generated HTML will be as followed:
<ul>
<li class="current_page_item">
<a href="http://localhost/wordpress">
Blog
</a>
</li>
<li class="page_item page-item-2">
<a href="http://localhost/wordpress">
Page 2
</a>
</li>
<li class="page_item page-item-4">
<a href="http://localhost/wordpress">
Page 3
</a>
</li>
</ul>
So WordPress correctly adds the CSS class "current_page_item" to the link for the homepage. But when being on another page then the homepage it will not add the CSS class "page_item" to the homepage link so it stays empty:
<ul>
<li>
<a href="http://localhost/wordpress">
Blog
</a>
</li>
...
</ul>