This may be obvious and not what you want to do, but Lemmy's own UI is optimized for threaded conversations within a post. Browsing Lemmy communities from an account on a Lemmy instance looks pretty sensible.
That doesn't help you manage comment toots from Mastodon, but if you don't find another solution... it will look better from Lemmy itself.
I would also like that. You would only have to use an app and could subscribe to certain communities as a feed (similar to RSS). If you want to read the comments you click on the link. But my understanding is that it's the client's job. This would have to understand how Lemmy is structured.
But a hybrid client which supports Mastodon and Lemmy would be great. Maybe if Reddit goes down the drain, there will be such clients in the future, which support both.