Hi, Shahd,
In future, please try to make the titles of your posts more descriptive of your linguistic doubt (in this case, way + relative, for example). Please read Guideline (7) here.
It says, "I admire the way.........Messi plays. (By which , in that , no pronoun)
I think it's no pronoun but i don't know why?
The noun "way" can be followed by "in which" or, in informal style, by "that" or by no pronoun:
- I admire the way in which Messi plays.
- I admire the way that Messi plays.
- I admire the way Messi plays.