You and db0 are doing different things - he has blog that Lemmy users can interact with as if it was another Lemmy community, whereas you have a blog that you want to use to post articles into a different Lemmy community.
A reply is sent from Lemmy twice - once to the community to Announce out to its followers, and once to the person being replied to. A top-level reply will appear on the WordPress blog because it is a reply to the author. A reply to a reply won't, because the blog is not following the Lemmy community (so won't get the Announce), and the author isn't the person being replied to.
If you want a reply to a reply to also appear on WordPress, you need to treat it like Mastodon, and also Mention the original author. Here is an example that also appeared on the blog: https://lemmy.world/comment/14897939 (the reply from 'freamon')