I see the exact same thing.
My site url (“WordPress address (URL)” in General settings) is https://domain.com/wordpress.
My blog url (“Blog address (URL)” in General settings) is https://domain.com.
The OpenID permalink appears to be relative to the blog url while the consumer URL that gets sent to MyOpenID is relative to the site url. So, MyOpenID redirects me back to https://domain.com/wordpress/openid/consumer and I get a 404. If I edit the address in the Address Bar to https://domain.com/openid/consumer, everything works fine.
At the moment, I’m not sure how to fix that. I’m on WordPress 2.8.5 and OpenID 3.3.2.
