Weixin as an app which also has many users in Europe of course being required to be GDPR compliant also provides European users the chance to export personal data.
The Steps to Export Personal Data
The option is in the path Settings > My Information & Authorizations > Export Personal Data if the Weixin is for a user in Europe Union.
A more complete set of screenshots in German. Worth mentioning, for a successful export, there could be several turns of using email to do the required verifications. (And it can go wrong sometimes as shown in the last several images.)