This is virtually impossible. The amount of processing power to do that would grind any server with more than a handful of people to a halt.
Best case scenario is hoping Lemmy servers has the same capabilities as other ActivityPub servers. You can make it so Threads can see the server but the server can't see Threads. In those scenarios, even if they reply to your post, you won't see it.
In any case, if you want to choose who you federate at a user level, create your own server. You can easily federate with who you want at that point. By being on another server, you give the admins some control. That's an agreement you made when you joined a server controlled by someone else. There is very little stopping you from your own server. It can cost very little up front and after that, effectively just your own efforts to keep it running. You can be the sole user and make it fairly easily.