Therein lies the challenge. There is no widely supported animation format that supports alpha channels. As mentioned in the other thread, APNG and WebP are the two most popular formats that do, and most recent web browsers support both of these, but not many image editors do, so you may need to look around. There are some online tools that’ll compile PNGs into either format, I think.
If your goal is to eventually get this animation into a video or a game though, you’re better off using the source PNGs directly.