Hello Mental Nomad,
In which format do you need to provide these copies? PDF? Screenshots? Other?
As an admin, you can check users’ personal messages by navigating to their profile and clicking 
Messages. You’ll have access to the list of their personal discussions.
If they have been removed from personal discussions, you’ll probably need data explorer and a SQL query to find these topics. All messages will be preserved even if a user left.
Here’s a bit of additional information: Users removed themselves from Private Messages (PM) and then the mods can't see their PM history - #10 by Canapin