We can only write to a lua file in your saved variables folder. However, I'm sure someone could cobble together an outside application that will parse that lua file however you need.
MailR saves sent mail in this format
Lua Code:
["sent_messages"] = {
["MailR_185144851"] = {
["timeSent"] = 1408320864,
["subject"] = "Return to sender, please",
["gold"] = 0,
["cod"] = false,
["postage"] = 10,
["body"] = "Return to sender, please",
["attachments"] = {
[1] = {
["stack"] = 1,
["icon"] = "/esoui/art/icons/enchantment_armor_healthboost.dds",
["link"] = "|H1:item:26580:2:10:0:0:0:0:0:0:0:0:0:0:0:0:1:0:0:0:0|h[inferior glyph of health^n]|h",
},
[2] = {
["stack"] = 1,
["icon"] = "/esoui/art/icons/enchantment_armor_magickaboost.dds",
["link"] = "|H1:item:26582:2:10:0:0:0:0:0:0:0:0:0:0:0:0:6:0:0:0:0|h[inferior glyph of magicka^n]|h",
},
[3] = {
["stack"] = 1,
["icon"] = "/esoui/art/icons/enchantment_weapon_shockessence.dds",
["link"] = "|H1:item:26844:2:10:0:0:0:0:0:0:0:0:0:0:0:0:7:0:0:0:0|h[inferior glyph of shock^n]|h",
},
[4] = {
["stack"] = 1,
["icon"] = "/esoui/art/icons/enchantment_armor_staminaboost.dds",
["link"] = "|H1:item:26588:2:10:0:0:0:0:0:0:0:0:0:0:0:0:7:0:0:0:0|h[inferior glyph of stamina^n]|h",
},
[5] = {
["stack"] = 1,
["icon"] = "/esoui/art/icons/enchantment_armor_staminaboost.dds",
["link"] = "|H1:item:26588:2:10:0:0:0:0:0:0:0:0:0:0:0:0:7:0:0:0:0|h[inferior glyph of stamina^n]|h",
},
[6] = {
["stack"] = 100,
["icon"] = "/esoui/art/icons/lockpick.dds",
["link"] = "|H1:item:30357:1:1:0:0:0:0:0:0:0:0:0:0:0:0:0:0:0:0:0|h[Lockpick]|h",
},
},
["recipient"] = "@AccountName",
},
},
It could be modified or a similar addon could be written to save received messages, I would think. But again, they would only be able to be saved to a lua file in your saved variables folder.