Every tweet under the tweet are a reply if they don't have a line connecting them to a previous tweet. The ones that have lines up are replies to the tweet the line connects to.
Thanks, looks like you're right. That's some counterintuitive UX right there, requiring the user to scroll several pages just to see a mid-thread comment. Wonder why they don't just put the replies immediately below the tweet they're replying to.
What you are seeing in that thread is the OP replying to themselves to create a thread of related tweets. They believe that seeing the whole thread of the OP is more important than what could be 1000s of replies to the original tweet.