Some of these suggestions are just plain pain
ful, not pain
less! MUC? ZRH? Blech!
Do Aegean the entire way. I did it 3 weeks ago via Larnaca (which was longer than connecting in ATH, but painless). The Larnaca flight from LHR is new. There was a minor hiccup in Larnaca where the staff weren't used to connecting A3 passengers (ironically you get off, go through security, then back onto the same plane (A320) to JMK), but the newish airport was nice and interesting. Note for LHR, this flight leaves from T4 and there is no lounge.
A3 planes are nice and there were spare seats, especially on the LCY-JMK connection which was about 20% full. I've connected in ATH on the way back and it is simple.
I have also tried the ferry approach from Athens to Mykonos, but schlepping to the port from ATH airport, and the actual journey itself, makes the travel an entire day and a bit exhausting.
Edited to add: All of this travel was at the height of the Greek strikes. No issues on A3 LHR-LCY-JMK, then JMK-ATH-MAD 6 days later. YMMV.