UPD: It works, see my next message.
If I change policy_path to a directory, I see the following error message in the gateway logs:
level=error msg="Couldn't unmarshal policies: read /mnt/tyk-gateway/policies/: is a directory" prefix=policy
And I still have
level=error msg="Failed to create file! - open dHlrL2h0dHBiaW4.json: read-only file system"