The endpoint is undocumented, but Pylon does support pulling messages for individual threads. Here's the shape of the response and the endpoint:

https://api.usepylon.com/issues/{issue_id}/messages

{
  "data": [
    {
      "id": "<uuid>",
      "message_html": "<string> - HTML-formatted message content",
      "timestamp": "<ISO 8601 datetime>",
      "source": "slack | email | web",
      "author": {
        "name": "<string>",
        "avatar_url": "<url>",
        "contact": {
          "id": "<uuid>",
          "email": "<email>"
        }
      },
      "is_private": "<boolean>",
      "thread_id": "<uuid> - optional, present if message is in a thread"
    },
    {
      "id": "<uuid>",
      "message_html": "<string>",
      "timestamp": "<ISO 8601 datetime>",
      "source": "slack | email | web",
      "author": {
        "name": "<string>",
        "avatar_url": "<url>",
        "user": {
          "id": "<uuid>",
          "email": "<email>"
        }
      },
      "is_private": "<boolean>"
    }
  ],
  "request_id": "<uuid>"
}

// Notes:
// - author.contact: present when author is an external contact (customer)
// - author.user: present when author is an internal user (team member)
// - author will have either "contact" OR "user", never both
// - thread_id: only present on messages that are part of a thread
// - is_private: true for internal-only messages, false for customer-visible

One thing to note is that the `id` in the response is the message ID, not the issue id. Issue IDs would need to be attached to the message object to be able to have a relationship between issue and message