It is available in iOS
This is a bit weird way to use it but here goes.
In the message list your mail is grouped by threads (if not turn it on in Mail, Contacts, calendars settings).
If you click that group, mail app will take you inside and show you option to look at individual messages
but instead of clicking the grouped conversation thread click a message above or below that group. now use the arrows in the toolbar to navigate to your threaded group. Voila! you can see messages in conversation view like in Lion. Its not as fancy as Lion though.
Apple really needs to update this behavior so it will show conversation view by default instead of the message view. send a feedback to
I already did.
http://www.apple.com/feedback