how redirect users to custom login page when user comment must “login to reply” is clicked?

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Try using this in your functions.php file or in a plugin file-

add_filter( 'login_url', 'wpse_290288_custom_login_url', 10, 3 );
function wpse_290288_custom_login_url( $login_url, $redirect, $force_reauth ) {
    $login_page_id = 123; // ID of your custom login page
    return get_permalink( $login_page_id );
}