Prismic's export feature doesn't allow to export of Media library images. You can only export documents. There are two options. First, as you suggested, is to fetch all documents (9k docs) and write a script to identify all PRISMIC images. And Second, save individual images from Prismic's media library to your local system. Go to Media Library -> click on any image -> again double click on image -> right-click and you will find save image as option.
I understand this is troublesome for you, but we have already been tracking it as a feature request, but I don't have any ETA of when it will be improved.
Let me know if you have any further questions related to it.