The only way you get that in Git is if you squash-and-rebase before merge, though. Which is fine if that's the process and end result that you want, but does (if you keep feature branches "messy") disconnect feature branches from their related merges into trunk from Git's point of view.
Yeah, you're reliant on Github metadata to make those links for you; there's nothing natively in git itself doing it. It's also an all-or-nothing affair, where the whole PR becomes a single squashed commit. To get anything in between ("here's my single large PR which I've rebased into N incremental commits, but you can also dig in and see the work that actually led here"), you really do need first class support in the tool.
I suppose the Github answer to all this would be "just make separate PRs", but going that way asks a lot more of the developer in terms of how polished those incremental states need to be.