I don't think it's possible. My advice is go to your voicemail and set that last voicemail as an archive to prevent unwanted deletion. Next I would recommend you call your carrier and see if they can email the recording to you.
It’s possible if your carrier supports Visual Voicemail. Go to the voicemail, tap the share button (box with the arrow), and save it using your preferred method (AirDrop, Files/iCloud Drive, Notes, Email, etc.).