Please use the FieldCompareSetPredicate function for the inner select
and use AddWithOr function to add this predicate to the Expression you are formulating with the first filter.
The following is a code example that you may follow.
IPredicateExpression filter = new PredicateExpression();
filter.Add(PredicateFactory.CompareValue(CommentFieldIndex.UserID, ComparisonOperator.Equal, 123));
filter.AddWithOr(
new FieldCompareSetPredicate(EntityFieldFactory.Create(CommentFieldIndex.CommentID),
null,
EntityFieldFactory.Create(CommentSentToUserFieldIndex.CommentID),
null,
SetOperator.In,
PredicateFactory.CompareValue(CommentSentToUserFieldIndex.UserID,ComparisonOperator.Equal, 123),
false);