After the comments of @BenCrowell I've thought better about the question and I believe I've found the answer myself. I'm posting my conclusions. If it is wrong in some aspect I'd like to be warned in comments.
The "motivation" for all of this would be to realize infinity as a "place". The idea of infinity depends then on how we approach it: through timelike lines, lightlike lines or spacelike lines. Which one we choose obviously would depend on the problem at hand.
To analyze for instance radiation carried to infinity by a massless Klein-Gordon field we would need to approach infinity through light-like lines. To state assymptotic in/out states with massless particles we would also need to approach infinity through lightlike lines and so forth.
In the case of approaching through light-like lines, heuristically speaking it becomes clear that this "place" would be reached by following null geodesics until we reach their endpoints. These geodesics fall into two categories: the ingoing and outgoing. To describe then we introduce coordinates $u = t-r$ and $v=t+r$ which respectively have the meanings:
- $u$ at an event is the coordinate time at which an observer at the origin emits light that reaches that event.
- $v$ at an event is the coordinate time at which an observer at the origin perceives light emitted far away that is detected at that event.
The ingoing lightlike geodesics are then $v$ constant lines and the outgoing lightlike geodesics are then $u$ constant lines.
The "place" we would like to define as the infinity for lightlike directions is the endpoints of these geodesics.
We face one issue however. Minkowski spacetime is geodesically complete. This means that the inextendible geodesics already contain all possible endpoints. So even if we "pull infinity closer" by transforming the coordinates to $U=\arctan u$ and $V = \arctan v$ the endpoints corresponding to $U,V=\pm \pi/2$ cannot be added to Minkowski spacetime.
This reflects on the metric. As pointed out in comments, the metric is essential for this discussion. In $U,V$ coordinates the metric becomes
$$ds^2=\dfrac{1}{\cos^2 U\cos^2 V}\left(dUdV-\frac{1}{4}\sin^2(U-V)(d\theta^2-\sin^2\theta d\phi^2)\right)$$
It is clear that at the so sought endpoints of these geodesics $ds^2$ blows up as a reflection that Minkowski spacetime is already geodesically complete and hence inextendible as a pseudo-Riemannian manifold.
Physically this would reflect the fact that our transformation performed a change in scale to bring infinity closer, but at infinity there should be one infinite amount of stretching, since after all, it was originally infinitely far away.
We can however, drop the divergent term and consider a totally new metric which is $$d\tilde{s}^2=dUdV-\frac{1}{4}\sin^2(U-V)(d\theta^2-\sin^2\theta d\phi^2).$$
Now the same ranges of coordinates $U,V$ for Minkowski spacetime with this metric is another spacetime and this one is not geodesically complete. This one can actually be extended by adding in the endpoints of the geodesics.
The extension can of course be performed in the coordinates $U,V$. Still, we see from the metric that it is periodic with respect to $V-U$. Hence the desired extension will be periodic with respect to $V-U$.
Introducing $V-U = R$ as one new coordinate and $T = U+V$ as a companion one, we see that even if we extend $R$ to run throught the whole real line, we will just be introducing "double labels" to same events since the extension we are performing must by consistency be $\pi$-periodic in $R$.
In that setting we can take one of the possible ranges, say $0\leq R\leq \pi$ while there is no such periodicity requirement on top of $T$ which may run freely from $-\infty$ to $\infty$.
Finally with this we obtain a new unphysical spacetime $(M,\tilde{g})$ whose region described by $U,V\in (-\pi/2,\pi/2)$ is not Minkowski spacetime which was inextendible, but rather is conformal to Minkowski spacetime, reflecting the original change of scale introduced to bring infinity closer.
The so-desired infinity $\mathscr{I}$ is then defined on this unphysical manifold with the unphysical metric which admitted the desired extension.