Gmail conversation replies displayed in mailbox

This is by design, so it is not possible. There is no mechanism to merge conversations and the only way to split a conversation is to change the subject, even if it's only one character.

(Asker apparently found the solution and added it as a comment. Copied here.)

As I now understand it, gmail implements IMAP in a non standard way and also groups emails using the subject line. This allows gmail to show messages from my Sent folder in a thread when I'm viewing my Inbox folder. Other 3rd party apps including iOS Mail do not do this. For anyone interested, Airmail for Mac includes a Group by subject setting, so it behaves like gmail in the browser. Shame iOS Mail doesn't have the same setting although I understand it's a non standard implementation of IMAP.