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Sure, it's possible, but you're getting into scripting territory.

mgmt_cli -r true login > sid.txt;
mgmt_cli -s sid.txt --format json show-groups | jq -r '.objects[] | .name' | while read X; do
    echo $X
    mgmt_cli -s sid.txt show-group name "$X" --format json | jq '.members[] | [.name, ."ipv4-address",.subnet4,."mask-length4"] |@csv' -r
    echo
done

Just to explain what's going on here:

• We're logging into the API once and saving the session in sid.txt, which we reuse in other commands.
• We're querying the API to get all the groups, then showing each one with some specific information (object name, ipv4-address for host objects, network and mask for network objects)

Limitations of the above:

• If IPv6 is in use, you will have to adjust the jq command accordingly to output the specific fields you want.
• For large numbers of groups or objects in a group, you will have to make multiple calls using limit/offset calls.
• This does not handle nested groups (groups inside of groups), which will require additional scripting.