PR's and comments on the PR's are shared via an API to GitLab so the commands that you have run basically help you to clone a repository from GitHub and create a mirror repo on GitLab with all the branches so in this approach you cannot get the MR's/ PR's in GitLab. Because what you basically have is two different repositories where one is just a mirror of the other.
My recommendation would have been using the import feature which works in such a way that it captures all the data as explained here from GitHub API and shares it with GitLab without losing much of the details so that's basically how GitLab is able to capture and store this PR/MR information such as comments on the PR as well as the other stuff that is listed here on the official GitLab migration docs when a PR gets imported.
Alternatively, since you don't have permissions to the GitHub repo I would recommend you head over to your GitLab instance and go to the project repo look for the individual branches and manually create the MR/PR using the GUI. With this approach, you will of course lose all of the vital comments from GitHub on the PR for that specific branch.