APNX file generating is part of the "Send to device" routine and is not otherwise accessible inside Calibre. There is/was a Calibre plugin called "APNX generator"
but that plugin is out-of-date for years now (there were changes in format of apnx files).
Recently there was a thread with this exact question and someone recommended using
ExtractCoverThumbs for generating apnx files (until then I did't know that that script/tool could also generated apnx files besides cover thumbnails).
So you could use that as a "post-download" step. Keep in mind that the cover thumbnail part of that tool no longer works (or to be more exact newer Kindle firmware block the use of thumbnails for azw3 pdoc type files/books).
The apnx files generated by it are working on PW3 with firmware 5.8.11, I've just tested it.