i’m not sure why you couldn’t pull in photos if you’re doing a mail merge. see: https://answers.microsoft.com/en-us/msoffice/forum/msoffice_word-mso_other/pulling-images-in-to-word-with-mail-merge/48d7421f-0649-e011-8dfc-68b599b31bf5
if you need to get all the photos downloaded onto your local machine, you could probably do something like this: https://forum.inaturalist.org/t/complete-observation-transfer-export-import/1678/4.