He found peace in death.
The blue light was to "light at the end of the tunnel". It is never shown in the series what it might be nor was it mentioned anywhere.
Also the hollywoodreporter explains this in depth.
As for the enigmatic nature of Tyrell's final moments, bloodied but bending toward a great blue glow, the actor is just as confused as the ...
Tyrell is dead, he died alone in the woods.
This article from the Hollywood Reporter features quotes from both Sam Esmail and Martin Wallström explaining their thoughts on it. I've added a short excerpt below but the whole article is a bit too long to quote.
Moments after the epiphany, Elliot and Tyrell come across the Dark
Army operative, who kills ...
I believe the actual hotel is called "West Gate Inn Nyack" in Nyack, New York, United States. You can sort of see the same shot from Google Maps though from a road behind where the camera is facing.