Before printing to PDF, ensure the conversation is expanded. If Outlook has "collapsed" older messages in the thread, they might not show up in the print preview.
If you only need the text and don't care about the formatting or attachments, you can save the webpage itself. Open the email thread. Press Ctrl + S (Windows) or Cmd + S (Mac). Choose "Webpage, HTML only" as the file type. download email chain outlook web
If you need to move the entire chain into another email or save it as an .eml file (the standard format for emails), forwarding it as an attachment is your best bet. Start a "New Mail" in Outlook Web. Before printing to PDF, ensure the conversation is expanded