The external system import in Jira only support csv and JSON, so you would have to export your data in Jazz to one of these formats. You may have to format the export from Jazz, and also be aware that Jazz is using a proprietary database so you may not be able to get all the data out. I remember when I did a migration from Jazz to Jama years ago that we had to manually set the links between test cases and test scripts.
Have a look at Import data from a CSV file for more information.
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