I've tried a couple of things. I wrote a tool for exporting them to SQLite: https://github.com/dogsheep/github-to-sqlite

I've also tried a mechanism where I have GitHub Actions write them out as JSON files in the repo itself, then I can git clone them in one go: https://gist.github.com/simonw/0f906759afd17af7ba39a0979027a... and https://github.com/simonw/fetch-github-issues