Been playing with this, but I can’t get it figured out.
I found how to add it after the button in the HTML:
add_filter( 'comment_form_submit_field', function( $button ) {
return $button . get_cancel_comment_reply_link();
} );
However, it never displays when you click the Reply link. I assume it’s because the JS they use only targets the first link.
I tried to disable the first link, but it looks like it’s hard-coded into WordPress: https://github.com/WordPress/WordPress/blob/5.1.1/wp-includes/comment-template.php#L2377
It might be worth asking over on something like wordpress.stackexchange.com. I might be overlooking something.