They released the feature earlier this year to work via Micropub. I wrote about their early UI here: ThreadReaderApp now has beta support for the Micropub Spec so you can publish Twitter threads directly to your blog. The nice part is that it works for a dozen or more platforms (not just WordPress) that already support Micropub. Another interesting option is @KevinMarks’s noterlive.com which will compile your threaded tweets for cutting/pasting HTML to your site. Perhaps one day he’ll add Micropub functionality as well?