Such a good question deserves answers from Oneness Pentecostals, who are the modern-day advocates of ancient Modalism (as well as some other groups). After five years, no Oneness Pentecostal has yet answered, so I hope that my answer will prompt some to do so now.
First, it needs to be made clear what Modalism is.
Marcion lived in the middle of the second century and incurred the wrath of Tertullian who wrote “Against Marcion” (circa 201). Marcion had a gnostic view of the spiritual Father who revealed himself in Jesus, making a dualistic distinction between the Creator and the true (but unknown) God, the Father. He denied that Jesus was truly incarnate, being “the spirit of salvation”. He further claimed that because God cannot suffer and die, neither did Jesus when on the cross. His successors so fully identified Christ with the Father that they presented Jesus as but a mode of the Father – Modalism.
Another who incurred the scathing, written wrath of Tertullian was Praxeas. I quote:
“Praxeas was perhaps the first Christian theologian to attempt to
explain the doctrine of the Trinity in systematic detail. In the
process, however, he apparently explained away the real ontological
threeness of the persons of God. That is, Praxeas denied that
Christians believed in three distinct identities or even relations
within the one divine being. If Tertullian’s account of what Praxeas
taught is correct, he reduces the Father, Son and Holy Spirit to three
aspects or roles of the one-person God. Praxeas’s view later came to
be known as modalism and was revived by another later teacher of
Christians in Rome named Sabellius. Thus it is also sometimes known
as Sabellianism.” (The Story of Christian Theology p92 by Roger E.
Olson, Apollos 1999)
Although today’s Oneness Pentecostals uphold the deity of Christ in a way that avoids the trap of having a main God plus a secondary god, they deny the distinct personhood of Christ who thus cannot fully represent the Father to us. They infer that Christ was human in appearance only, suggesting that God himself died on the cross. They believe in a strictly singular person who acted in different forms at different times.
This means that, when it comes to Revelation 3:21, they do not see any problem. That is because the Revelation depicts one throne of God in Heaven which is equally shared by the risen Christ. The Lamb as was slain stands in the midst of the Father’s throne. God’s throne becomes (in the Revelation) a shared throne. There are other thrones surrounding the one where Jesus is “set down with my Farther in his throne” but none of those is Christ’s throne. No, he is in the midst of God’s throne.
You have not asked about the Holy Spirit in all of this, but about ten years ago, when I was in correspondence with a Oneness Pentecostal, he wrote,
“Oneness view of the Holy Spirit [is]: God IS a Spirit. That Spirit is
the Holy Spirit. The Holy Ghost is the very essence of who God is…
[He] is the Father of Jesus. And who is Jesus? The same Spirit that is
His Father inhabited the body of His son (2 Cor. 5:19) so that ALL the
fullness of the Godhead dwells in Jesus.”
It appears that they have so ‘merged’ all three that it doesn’t matter whether the Bible speaks of the Father, or the Son, or the Holy Spirit; to them they are but modes of the one God. This means that your question is invalid, as your idea that two thrones are spoken of (that of the Father, and that of the Son) actually has no bearing on their theology; they might point out that Revelation mentions 24 heavenly thrones surrounding the one, central throne of God, but that Christ is in that midst of that one throne of God.
This is not to say, or suggest, that any such view is correct, but I hope it will prompt you to ask another question, based on scriptures that ARE a problem to Oneness Pentecostals.