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The most straightforward option is installing your application into Android Emulator or iOS Simulator, this way the "virtual" handheld device will be using your machine's Internet connection and you will be able to capture the traffic with JMeter
You can go for so called "reverse USB tethering", refer the following guides:
How to use ...
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You don't have any Samplers under the Thread Group you're running, I don't know where did they go, if you did everything that you were supposed to be doing you should get at least one HTTP Request sampler as the result of recording your mobile application traffic.
So presumably you need to copy all these children of the HTTP(S) Test Script Recorder to the ...
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