To modify the Mayfly to work as a carrier board you’d need to cut and re-solder jumpers SJ8 and SJ9 on the back of the Mayfly to connect Bee Tx and Rx to Tx 0 and Tx 1. You would want to undo the change to use the Mayfly again normally. I’ve never actually tried this modification and am not 100% positive it would work.
I suggest you just forget about connecting the XBee to your computer and give up on XCTU and m-center. You really need a separate development board to make that connection work.