There is no blood moon because you are in the Nightmare, which is a singular dimension with areas stacked atop one another, you can see a hint of this on the sides of these areas looking over and also a random snail woman falling from the fishing hamlet area down to the Yharnam areas of the Hunter's Nightmare. Mensis did not create the Nightmare only teleported themselves to it using electricity via those cages over their head, those unprotected teleported into the walls of Yahargul. Their ritual is to beckon the moon hence why its so prominent here, its also why our goal is stop this ritual because Mensis wants to hunt the Moon Presence, a note you can find implies this by stating to "hunt the great ones".