If it isn't running 0.8.0-rc.25 or later then you can't setup WiFi via USB.
Not surprising since blinking blus is not DFU Mode hence the device is no DFU device for your system.
What CLI command have you tried to establish that?
Yes CLI 1.37.0 is aware of the Argon but the Argon can't be setup via particle setup (yet) since that command expects a SoftAP device which the Argon doesn't expose.
I'd try updating the device to 0.8.0-rc.27 as shown in this post
After that you should see the device via USB Serial and should be able to run particle serial wifi (in Listening Mode)