The https://graph.microsoft.com/v1.0/me/messages/{id} endpoint your using will only return the Message with that particular Id. To get all the message within a particular thread you would need to use a Filter on the Messages Collection based on the CoversationId property of one of the Messages in that thread eg
/Messages?$filter=conversationid eq 'Message.ConversationId'
or
/Messages?$filter=conversationid eq 'Message.ConversationId'&$orderby=receivedDateTime desc
If you want them ordered by last received where Message.ConversationId is the conversationId from the Message
"@odata.context":"https://graph.microsoft.com/v1.0/$metadata#users('7f180cbb-a5ae-457c-b7e8-6f5b42ba33e7')/messages/$entity",
"@odata.etag":"W/\"CQAAABYAAAC4ofQHEIqCSbQPot83AFcbAAAnjjuZ\"",
"id":"AAMkADhMGAAA=",
"createdDateTime":"2018-09-09T03:15:05Z",
"lastModifiedDateTime":"2018-09-09T03:15:08Z",
"changeKey":"CQAAABYAAAC4ofQHEIqCSbQPot83AFcbAAAnjjuZ",
"categories":[
],
"receivedDateTime":"2018-09-09T03:15:08Z",
"sentDateTime":"2018-09-09T03:15:06Z",
"hasAttachments":false,
"internetMessageId":"<MWHPR6E1BE060@MWHPR1120.namprd22.prod.outlook.com>",
"subject":"9/9/2018: concert",
"bodyPreview":"The group represents Nevada.",
"importance":"normal",
"parentFolderId":"AAMkADcbAAAAAAEJAAA=",
"conversationId":"AAQkADOUpag6yWs=",