I don't know if the following will work, but the only way I can think of is to replace your "News" folder. This would work in older versions of Thunderbird, but I'm not sure it will in current versions...
Pre-work. I don't know if it will make a difference, but here are the settings I have for the server in my instance of Thunderbird:
Account Name: TheDBCommunity
Port: 119
...you may want to make sure yours matches before replacing the News folder (as I don't see this info in any obvious file inside the News folder)
1. In Thunderbird, go to Help > More Troubleshooting Information
2. Scroll down to find the Profile Folder entry and click the "Open Folder" button
3. Close Thunderbird.
4. Back up your entire profile. If you've never backed up and restored your profile, google and learn how to do it. This is a precaution, but it's a good idea. (This is email and everything else. If you don't use Thunderbird for anything other than newsgroups, the following is likely less risky.)
6. Delete or move your "News" folder
7. Extract the zip and drag the News folder into your profile folder (or extract it there, if you wish) (Do not try to copy over your News folder, lest they get merged and munged - delete or move yours before moving mine in.)
8. Start Thunderbird. See if all the pnews stuff is there offline now.
If this doesn't work, I'm not sure what to try, but if you get error messages, we can go from there.
I checked, and the GUI has no way to export only newsgroups, and I'm not going to give you my whole profile as I use Thunderbird for lots of email accounts, message storage, and calendaring, in addition to pnews.
Let me know how it goes! :)
Liz