Protonmail is a walled garden of its own because it has no IMAP or POP (hasn't had it for more than two years since it was requested). So you're stuck with using the Protonmail apps on iOS or Android or using the web version. None of them are good choices to have one's own copy of all mails in an easily portable form. The only option Protonmail provides is to individually save or print emails. So there's no easy way to export your mails and switch to another provider.