I don’t know of a built-in way to do this (but I may of course be wrong).
I work in the same way:
With PDFs, I use Highlights.app and Export to Devonthink as a folder of files which I keep in a “Notes” subfolder under the relevant article. I run a script on those files to link them back to the original article PDF and metadata like a citekey etc.
With eBooks, I use Readwise, export to markdown, and then have a small applescript to split that single markdown file into separate Devonthink notes, with the same linking back as above.
I then replicate those notes into thematic folders for whatever I’m working on.