Most people are aware that you can reply to messages within notifications. The "Reply" button has been a feature in Android since 7.0 Nougat, saving precious seconds needed to open the app and respond there. But did you know the convenience doesn't stop there?
As long as you're running Android 9 or newer, you can continue your conversations in the notification shade. Instead of dismissing the alert after you send your reply, Android now keeps the alert active — in other words, you have to dismiss it.
So as long as you leave the alert in the notification shade, the next message will appear in the same notification, where you can use the "Reply" button again to continue the conversation. Keep this notification long enough, and you'll basically turn it into a chat window.
One thing to note is that some apps will dismiss the alert automatically. For example, during my testing, I found Telegram would dismiss the alert after sending the first reply. Also, if your messages are hidden when they arrive in the notification shade, you won't have the reply button, which means this feature is inaccessible.