I'm going to piggyback on this one, because I have the same question. I have IMAP accounts, so no problem there. But I also have more than 20 years of emails sitting in "on my mac," and some of them are important. I don't need to go through them very often -- a couple of times a month.
I'd like to move many of them them to my NAS or to an attached drive but, like the OP, I'm not sure about the procedure, or if there even is one.
In an ideal world, when I need to inspect them, I'd tell Mac Mail where they are, and then be able to see them as if they were regular emails.
This hasn't been a priority item for me, but it's been on my mind and the OP's question resonated. I haven't done any exploration myself.
I kind of doubt this is possible but maybe an answer to the OP's question will answer mine, too.