How do I save an entire Mail conversation as a single pdf?

Using

• macOS Big Sur version 11.2.3
• Mail 14.0
• MacBook Pro

I have a number of emails, each with a different Subject line, that contain multiple replies, and I would like to save each of these as one document containing all correspondence in that specific conversation. For example, I may email a colleague a question, and we go through several back-and-forth emails in that single conversation - under the same Subject heading.

When I "Export as PDF" or "Print as PDF" it only saves part of the conversation, which is unhelpful. How to I save an entire conversation in one PDF document?