You can export mails, but only if you're on a paid plan.

Then you can install Proton Mail Bridge (which exposes a fake IMAP server to your machine) and a mail client (e.g. Thunderbird). Then you move all your mail from Proton to your new service by drag-n-dropping inside of your mail client.

I did it in order to move to Mailbox.org (great service), exactly because I don't want to give money to a company run by a Trump supporter.

Also, get ready to receive replies in which they tell you "Ackchyually he's not a trump supporter!!!1"