[guided]The goal of this step is to manufacture a tubular neighbourhood $V$ of the radial ray $K = \{ta : t \in [0, 1]\}$ on which $\exp_p$ is *globally* injective, not just locally so. Why is this the right construction? Because in the next step we will need to lift paths $\psi$ from $M$ back to $T_pM$ via $(\exp_p|_V)^{-1}$, and that requires $\exp_p|_V$ to be a diffeomorphism, not just a local one.
We start by extracting local diffeomorphism neighbourhoods. The hypothesis says $(d\exp_p)_{ta}$ is a linear isomorphism for each $t \in [0, 1]$. By the inverse function theorem, for each $t$ there exist open neighbourhoods $V_t \ni ta$ in $T_pM$ and $W_t \ni \gamma(t)$ in $M$ such that
\begin{align*}
\exp_p|_{V_t}: V_t \to W_t
\end{align*}
is a $C^\infty$ diffeomorphism. So local injectivity is automatic at each ray point; the work is to upgrade this to a uniform global injectivity on a tubular neighbourhood.
Set $K := \{ta : t \in [0, 1]\}$. Why is $K$ compact? It is the continuous image of the compact interval $[0, 1]$ under $t \mapsto ta$, so by the standard topological fact that continuous images of compacts are compact, $K$ is compact in $T_pM$. The collection $\{V_t : t \in [0, 1]\}$ is then an open cover of $K$, and we extract a finite subcover $V_{t_1}, \ldots, V_{t_N}$ with $0 = t_1 < t_2 < \cdots < t_N = 1$ chosen so that successive $V_{t_i}, V_{t_{i+1}}$ overlap on a neighbourhood of the corresponding sub-ray.
Now to the global injectivity. We claim there exists $\eta_0 > 0$ such that
\begin{align*}
V := \{u \in T_pM : \operatorname{dist}(u, K) < \eta_0\}
\end{align*}
has $\exp_p|_V$ injective. Suppose for contradiction that no such $\eta_0$ exists. Then for every $\eta > 0$, there exist $u_\eta \neq v_\eta$ with $\operatorname{dist}(u_\eta, K), \operatorname{dist}(v_\eta, K) < \eta$ and $\exp_p(u_\eta) = \exp_p(v_\eta)$. Letting $\eta \to 0$, the compactness of $K$ lets us pass to subsequences with $u_\eta \to u^* \in K$ and $v_\eta \to v^* \in K$. By continuity of $\exp_p$,
\begin{align*}
\exp_p(u^*) = \exp_p(v^*).
\end{align*}
We now split on whether $u^* = v^*$ or $u^* \neq v^*$. Why does the case $u^* = v^*$ lead to a contradiction? Because $\exp_p$ is a local diffeomorphism at $u^*$ (regular-point hypothesis), so it is locally injective near $u^*$; hence for small enough $\eta$, $u_\eta$ and $v_\eta$ both lie in this local injectivity neighbourhood, forcing $u_\eta = v_\eta$ — contradicting $u_\eta \neq v_\eta$. So $u^* \neq v^*$. But then both $u^*$ and $v^*$ are distinct points of $K$ with the same $\exp_p$-image. On $K$, however, $\exp_p$ is one-to-one: the map $ta \mapsto \gamma(t)$ is a continuous bijection $[0, 1] \to \gamma([0, 1])$, since $\gamma$ is non-self-intersecting on $[0, 1]$ (the implicit hypothesis discussed below). So $u^* = v^*$, again a contradiction. The two cases together exclude every possibility, so the assumed failure was false: an $\eta_0 > 0$ does exist.
With this $\eta_0$, set $V := \{u \in T_pM : \operatorname{dist}(u, K) < \eta_0\}$ and $W := \exp_p(V)$. Combining the global injectivity just established with the local diffeomorphism property at each point of $V$ (inherited from the regular-point hypothesis along $K$, extended to a neighbourhood by the inverse function theorem), $\exp_p|_V: V \to W$ is a $C^\infty$ diffeomorphism onto an open neighbourhood $W$ of $\gamma([0, 1])$ in $M$.
A note on the implicit hypothesis that $\gamma$ is non-self-intersecting: in the standard formulation of the theorem, $\gamma$ is the radial geodesic to $q$, which is the *unique shortest* such geodesic in the relevant chart context, hence non-self-intersecting. If $\gamma$ did self-intersect (two distinct $t_1, t_2$ with $\gamma(t_1) = \gamma(t_2)$), the path-space neighbourhood concept would need refinement; the regular-point hypothesis combined with the absence of self-intersection on $K$ is the natural formulation, and we adopt it.
Strategically: pointwise local injectivity at every point of a curve does not automatically yield global injectivity on a neighbourhood — the curve could "wrap back on itself" under $\exp_p$ if conjugate points appear. The regular-point hypothesis rules out such wrapping by keeping the rank of $\exp_p$ full all along the ray, and the compactness argument above turns this pointwise condition into a uniform tubular-neighbourhood injectivity statement.[/guided]