This is how the lookup data is stored internally. Your best option is to create some client side JavaScript code which reads and formats the data in the required format and dump it into a CSV file. Then open the CSV file in Excel.
You can execute the JavaScript code by opening browser console window.
- Querying data in JavaScript
- Expand lookup fields
- Create CSV file using JavaScriptCreate CSV file using JavaScript
Another Option
Create a REST query and execute it in a new browser tab. This will give back the JSON/XML format. Now convert this to CSV format using online tools -