See the quick inspect-element mockup I put together for an example. I'm bad at design, but I think it gets the point across. Current implementation on left, suggested on right. Also, I'm using Kbin Enhancement Suite for the modifications to instance names, but I think they are even more useful for this demonstration.
How it could work: If the same link is submitted across multiple communities in your current view (subscribed, favorites, all, etc) within a certain time period (probably 24 hours), then have them automatically group themselves into the same box, along with a brief list of the duplicate threads and instances. Use whichever of the threads has the highest score as the one to fill the title and thumbnail for the grouped thread.
I didn't make a mockup for this, but when clicking the thread, it could then import the comments from each of the grouped instances. Options on the sidebar could show you each of the instances whose comments are being shown on that page, along with an option to filter them out of your current feed, and options to add your votes to each instance's thread.
EDIT: To add, as I'm seeing some confusion in the comments: I'm envisioning this as a strictly user-side bundling of threads. This would only bundle threads as they are displayed to the user in their own feed based on communities you're subscribed to. So if the same link were to be posted to 5 different communities you subscribe to, when you view the feed, you'll see those 5 links all bundled together. Though perhaps an option could also include seeing non-subscribed duplicates, as well.
I think something like this is necessary at some point, since duplicate posts across duplicate communities is an inconvenience when compared to more centralized communities in Reddit. Some thoughts:
When you go to the comments, which instance's comments are we seeing? If we make a comment, which instance is our comment posted to? My idea would be to throw everyone's comments into a singular bucket as you said, but then you'll have to select which instance you're posting to when commenting. This does introduce an issue with moderation though, as different communities may have different rules. So there may need to be a moderation option on whether you'll allow post collation across other communities.
Aside from grouping duplicate posts like this, we could also group different communities. If we have a kbin.social/m/technology and lemmy.world/c/technology, we could just combine the posts from both communities into one group. This could be done automatically for communities with the same name, but a better option may be for moderators to add "sister communities" whose posts will appear in the magazine. That way, from the user's perspective, there is just one technology magazine that assembles content from multiple instances.
I think the base Lemmy project needs to have some better, built-in support for cross-instance posting. That would make it easier for serial posters to treat communities more like hashtags when submitting links, but still keep feeds clean for the users by keeping the clutter nice and tidy.
In fact, that could help smaller communities grow, too, as you could have it show you "mirrored" versions of that thread from other communities/instances. For example, the same link could be posted to tech@instance.one and gaming@instance.two, but I'm only subscribed to tech, but seeing an option to view the comments from the gaming community's version of that thread would help me discover more content I may be interested in.
Actually, Lemmy already does crossposts, Kbin doesn't. This user just crossposted their post, and interestingly, they just show up as separate posts to us. I'd think Lemmy would use the protocol's boost feature, but maybe there's some limitation that prevents this