Just entering a name only works for players. For entities in general you need a target selector:
@p targets the closest player.
@r targets a random player, or, if you specify a type, a random entity of that type.
@a targets all players.
@e targets all entities
@s targets yourself.
If you want to go to the closest blaze, you can use:
/tp @s @e[type=blaze,sort=nearest,limit=1]
@s as the first argument of the
/tp command just selects you, because you execute the command, so you will be teleported. You could also use your username, if you want to.
@e as the second argument of the
/tp command (the target to teleport to) would select all the entities that are currently loaded, so you would be teleported to all of them one after another very fast. But you can restrict the group of entites you select with selector arguments:
type=blaze restricts it to only blazes.
sort=nearest sorts the entity list by distance from you.
limit=1 restricts it to the first entity of the list, the one that is closest to you.
So in general, you select the closest blaze to you and teleport to it, like you wanted. If you want to teleport to a random blaze, you can leave out
More about target selectors can be found here (archive).