Despite the date on which the messages occurred, if you deleted the messages within 30 days, you should be able to recovery them in Messages>Edit>Recently Deleted or Messages>Filters>Recently Deleted (depending on your app configuration settings). If you deleted them over 30 days ago, there is not a known way to recover them.
You said that your iPhone is backed up to iCloud. What you could try to do is sync your Messages in iCloud. Your Mac should sync all its messages into iCloud, as should all your other devices. So, threads that exist on some devices but not others should all merge across devices once they're all in sync with Messages in iCloud, but I guarantee it.
To enable Messages in iCloud on iPhone, visit Settings (app) > [Your Name] > iCloud > Show All > Messages in iCloud > Use on this iPhone (turn the toggle on). Then click "Sync Now" if Settings will let you. If the option is greyed out, then iPhone has already started syncing Messages with iCloud. Wait until the process is complete; it may take up to 24 hours.
To enable Messages in iCloud on Mac, visit Messages (app) > Messages (in Menu Bar) > Settings > iMessage > Enable Messages in iCloud (turn the checkmark on). Then click "Sync Now" if Messages will let you. If the option is greyed out, then Mac has already started syncing Messages with iCloud. Wait until the process is complete; it may take up to 24 hours.
If all goes well, you should see the threads across your devices appear on every device, including the thread that's missing on your iPhone.
Hope this helps!