The energy actually does not depend on $\ell,m_\ell$ and in fact on any of the quantum numbers except for $n$.
Thus, a linear combination of states with the same $n$ but different $\ell,m_\ell$ compatible with that $n$:
\begin{align}
\vert\psi_n\rangle = \sum_{\ell,m_\ell} c_{\ell,m_\ell} \vert{n \ell m_\ell}\rangle
\tag{1}
\end{align} would also be a state with energy $E_n$. The state (1) is not necessarily a state of "good" $\ell$ or $m_\ell$. However, it is known that commuting operators have common eigenvectors, so the $\vert n\ell m_\ell\rangle$ kets are in fact common eigenvectors of $\hat H$, $\hat L^2$ and $\hat L_z$. The common eigenfunctions are
\begin{align}
\langle r\theta\varphi\vert n\ell m_\ell\rangle = R_{n\ell}(r) Y_{\ell}^m(\theta,\varphi)
\end{align}
and are obtained from the usual separation of variables in the Schrödinger equation.
If we find the quantum numbers $n\ell m_\ell$ are not sufficient to completely label states, we have to find one or more additional operators that will commute with the $3$ above. $\hat S^2$ and $\hat S_z$ are such operators and, as far as we know, the set $n,\ell,m_\ell,S,m_s$ is enough to completely label the states. The extension of (1) to include spin is would be
\begin{align}
\vert\psi_n\rangle = \sum_{\ell,m_\ell,m_s} c_{\ell,m_\ell,m_s} \vert{n \ell m_\ell;S=\textstyle\frac{1}{2},m_s}\rangle\, ,
\end{align}
although the resulting state $\vert \psi_n\rangle$ would not necessarily be an eigenstate of $\hat L^2$, $\hat L_z$, or $\hat S_z$.
Thus far, the set of $n\ell m_\ell S m_s$ has proven enough to uniquely label all the possible states so there's no need to drum up additional labels.