how do I save an entire conversation thread in mail to a pdf?

Highlight each one in Mail>Print>PDF>Save as PDF.

Hold CMD key to select additional eMails when clicking on them.

Copy and Paste each conversation into One Pages file and Save. In Pages >> Export as PDF and give the PDF a name of your choosing.

Exporting Directly from Mail will only export a single message to PDF. Thusly, having export each and combine all the PDFs into One afterwards.

You're welcome, take care my friend. :)