My problem is as follows:
I would like to make an application to list the sms conversation using C# and AT Command ... (not Android)
The Android/iOS smartphone will be connected by USB cable.
is it possible ?
any ways to help me
Provided the phone implements a serial USB interface that speaks AT commands (Communication Device Class (CDC) Abstract Control Model (ACM)), then yes this is possible.
The command to read SMS messages is AT+CMGR
and it is standardized in the 3GPP specification 27.005. For reading1 SMS messages there no special handling other than the normal AT command response parsing (never use sleep/delay/etc).
The sms commands operates in one of two modes, Text mode (optional) or PDU mode (mandatory). Text mode is simpler but does not provide all the meta information that PDU mode does. Depending on the phone or what you want to display and parse you might be required to use PDU mode.
Parsing the hexadecimal binary response you get in PDU mode is very far from trivial, and you most certainly want to use a library for this rather than trying to write parse code yourself (at least when your experience is starting on not knowing about the relevant commands and not having read V.250, 27.007 and 27.005 before).
1For sending you must wait for `"\r\n> " before sending the payload, see the first part of this answer.