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If you've downloaded a mirror copy of the website to your computer, you may be able to convert the whole thing into a single MOBI file using Calibre.
I was able to do this with one of my own websites (admittedly a smallish one of ~18 pages) by pointing Calibre at the index.htm file and letting it do the hard work. It kept the internal links and because my original index.htm was a table of contents, navigating from the top is a breeze.
I don't know how well Calibre would work with several thousand pages, though. If there are tables or images as well, it would be even more of a challenge.
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