Multi-connectivity involves dynamic cluster formation among distributed access points (APs) and coordinated resource allocation from these APs, highlighting the need for efficient mobility management strategies for users with multi-connectivity. In this paper, we propose a novel mobility management scheme for unmanned aerial vehicles (UAVs) that uses dynamic cluster reconfiguration with energy-efficient power allocation in a wireless interference network. Our objective encompasses meeting stringent reliability demands, minimizing joint power consumption, and reducing the frequency of cluster reconfiguration. To achieve these objectives, we propose a hierarchical multi-agent deep reinforcement learning (H-MADRL) framework, specifically tailored for dynamic clustering and power allocation. The edge cloud connected with a set of APs through low latency optical back-haul links hosts the high-level agent responsible for the optimal clustering policy, while low-level agents reside in the APs and are responsible for the power allocation policy. To further improve the learning efficiency, we propose a novel action-observation transition-driven learning algorithm that allows the low-level agents to use the action space from the high-level agent as part of the local observation space. This allows the lower-level agents to share partial information about the clustering policy and allocate the power more efficiently. The simulation results demonstrate that our proposed distributed algorithm achieves comparable performance to the centralized algorithm. Additionally, it offers better scalability, as the decision time for clustering and power allocation increases by only 10% when doubling the number of APs, compared to a 90% increase observed with the centralized approach.