PSTs can be exported from Exchange Online via eDiscovery, although I'm curious why you'd want to, since it will only include whatever's in the mailbox anyway, which can presumably be accessed directly from the cloud when the mail client signs in.
What's the use case with PST import in Thunderbird? Outlook clients with an IMAP/POP3 mailbox storing a local archive of mail that's since been deleted from the server? This can be uploaded to the Exchange Online mailbox through Outlook which would be more resilient and less brittle than a local PST. What scenario am I missing?