If you're following someone but not the person they're replying to, this is how it shows up because the design assumes you're more interested in what the person you're following has to say, and just includes the original for context

disclaimer: I don't really use the website so I could be slightly off. It probably doesn't require you only be following one of the two users, moreso that reply tweets (sorry, reply Xs on X) from people you follow show like "normal" top level posts in your feed