The new Outlook does not currently support export AFAIK. There is an option to export everything in order to import it into a new account but that is about it. Furthermore the new Outlook doesn't even support importing for a lot of things. These are on the roadmap from what I understand but not currently supported.
The recommended workaround, for now, is to switch back to classic Outlook and export the email(s) you care about. Once exported you can switch back to new Outlook. Definitely not ideal but the current UX doesn't support export right now.