RFC 6068, section 6.1 has the following example:
An interesting use of 'mailto' URIs occurs when browsing archives of messages. A link can be provided that allows replying to a message and conserving threading information. This is done by adding an In-Reply-To header field containing the Message-ID of the message where the link is added, for example:
<mailto:list@example.org?In-Reply-To=%3C3469A91.D10AF4C@ example.com%3E>
In this example, a mailto link is used to reply to an existing email, using the URL encoded Message-ID. Despite this, I am so far unsuccessful in making this work in google chrome, neither the windows 10 mail client, nor the gmail service handler appears to respect this. The message ID's I have used were in the respective inboxes for both of these clients.
Is this feature actually supported by any mail clients or browsers?
Unfortunately it seems that this feature is not very widely supported. I tested a number of email clients including Outlook, Gmail and Mac OS, none of which appear to support it. The only email client that I have been able to find that supports the functionality is Thunderbird (which supports both the References and In-Reply-To headers).