At the moment the only way to get to roadmap health is via the roadmap screen. You can only export this data one at a time (e.g. Theme, Initiative, Feature).
See https://community.atlassian.com/t5/Jira-Align-questions/Capabilities-How-to-export-access-status-or-health-data/qaq-p/2349233?utm_campaign=immediate_general_answer&utm_medium=email&utm_source=atlcomm&utm_content=topic

But there is no way to get this data from the v2 API (see ALIGNSP-19168)
Ideally we could call the API to get the health and update it back in Jira or report on it in Power BI.