Most mailing lists use the In-Reply-To or the Reply-To field to thread the messages. Do you see a "Reply to:" function on the page? Clicking that should open your default mail client with the correct headers. An example is the Debian list , it uses:
<a href="mailto:email@example.com?In-Reply-To=<20180201020517.GA18805@alum>&Subject=Re:%20Re: Network setup by installer">firstname.lastname@example.org</a>
Or you could use the mbox archives many lists have.
For example the Ubuntu bugs archives where you can look at the headers and insert them in your mail (if your mail client supports that). Alternatively you can download the mbox files and use/import them, again the how depends on your mail client.
Based on your comment I checked out the mailing list. If you go this example at the top you can click:
That should open in your mail client. If you ask me they could have made that more obvious.