Lemmy is still under heavy development, so these types of features aren't implemented yet. For now you probably would need to contact the admins of every individual instance you've used and ask for a data collection manually (this equates to a few database queries and possibly manual flicking through files on their side).

HOWEVER, this could be difficult depending on the admins and their skill levels with things like this, but should be of little issue (unless the admins refuse, in which case you'll have to find another way)

Interesting question. Makes me wonder if instances can be GDPR compliant too.