There is currently no built-in way to achieve this. There's been a UserVoice item for this for a long time.
As you said, you can query all the twins and their relationships and create an export that way. Just make sure to stop your application(s) from writing to ADT while this export is running.
A new import (or 'job') feature just came out; I would hope that it gets matched with an export feature as well.