Keep the speaker plugged in. You need an output load so that when you do pass a signal to the OT, it has a place to go and not fry the OT.
So, you are looking for a short, probably one of the caps or (fingers crossed it’s not) the power transformer. You can check the PT by disconnecting all the secondaries and see if the fuse still blows.
If the fuse does not blow, that’s good. Go ahead and check (carefully) the secondary voltages while you have the transformer isolated from the rest of the circuit. Remember the red pair is B+ voltage (approx 330V).

BTW, you should be using a current limiter anyway to protect the components from a dead short while you are troubleshooting. It will indicate if there is a short or not, so you won’t have to keep replacing fuses while you get things sorted out. There is info elsewhere on this site on how to build a simple limiter.

Which power transformer did you use for your amp?