[step:Show that radial straight lines in $T_p M$ are geodesics of $\tilde g$ defined on all of $\mathbb{R}$]
Let $u \in T_p M \setminus \{0\}$. Define the radial line
\begin{align*}
\sigma_u : \mathbb{R} &\to T_p M, \\
t &\mapsto t u.
\end{align*}
We claim $\sigma_u$ is a geodesic of $(T_p M, \tilde g)$, defined on all of $\mathbb{R}$.
By construction, $\exp_p \circ \sigma_u (t) = \exp_p(tu)$ is a geodesic of $(M, g)$ (the radial geodesic from $p$ with initial velocity $u$), defined on all of $\mathbb{R}$ by completeness of $(M, g)$. Since $\exp_p : (T_p M, \tilde g) \to (M, g)$ is a local isometry and local isometries pull geodesics back to geodesics — the pullback of the Levi-Civita connection equals the Levi-Civita connection of the pullback metric, by the uniqueness of Levi-Civita — the curve $\sigma_u$ is a geodesic of $\tilde g$ at every $t$ where $\exp_p \circ \sigma_u$ is locally a geodesic, which is everywhere.
We make this explicit. Let $\widetilde\nabla$ denote the Levi-Civita connection of $\tilde g$, and $\nabla$ that of $g$. For any vector field $X$ on $T_p M$ and $Y \in \mathfrak{X}(T_p M)$, the pullback connection satisfies $d(\exp_p)(\widetilde\nabla_X Y) = \nabla_{d(\exp_p)X}(d(\exp_p) Y)$ in the sense of $\exp_p$-related vector fields, which is well-defined locally because $\exp_p$ is a local diffeomorphism. Both connections are torsion-free and metric-compatible (with respect to $\tilde g$ and $g$ respectively), and the pullback inherits both properties. By uniqueness of the Levi-Civita connection of $\tilde g$, the pullback connection is $\widetilde\nabla$ itself. Therefore for the curve $\sigma_u$ in $T_p M$ and the curve $\beta := \exp_p \circ \sigma_u$ in $M$:
\begin{align*}
d(\exp_p)_{\sigma_u(t)}(\widetilde\nabla_t \dot\sigma_u(t)) = \nabla_t \dot\beta(t).
\end{align*}
Since $\beta$ is a geodesic of $g$, $\nabla_t \dot\beta = 0$, and since $d(\exp_p)_{\sigma_u(t)}$ is injective, $\widetilde\nabla_t \dot\sigma_u = 0$. Hence $\sigma_u$ is a geodesic of $\tilde g$.
Moreover, the maximal domain of $\sigma_u$ as a geodesic of $\tilde g$ is at least the maximal domain of $\beta = \exp_p \circ \sigma_u$ as a geodesic of $g$ — which by completeness of $(M, g)$ is all of $\mathbb{R}$.
In particular, every radial line through the origin $0 \in T_p M$ is a $\tilde g$-geodesic defined on all of $\mathbb{R}$, so $\widetilde{\exp}_0 : T_0(T_p M) \cong T_p M \to T_p M$ is defined on all of $T_p M$, and $\widetilde{\exp}_0(u) = \sigma_u(1) = u$ — i.e., $\widetilde{\exp}_0$ is the identity map on $T_p M \cong T_0(T_p M)$.
[/step]