Magento 2 + Custom column added sku on grid not showing data in export file

To add SKUs Column in order Ui grid. You need to modify below files.

TO add column, add below code in your module

[vendor]/[module]/view/adminhtml/ui_component/sales_order_grid.xml

<?xml version="1.0" encoding="UTF-8"?>
    <listing xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="urn:magento:module:Magento_Ui:etc/ui_configuration.xsd">
    <columns name="sales_order_columns">
        <column name="skus">
            <argument name="data" xsi:type="array">
                <item name="config" xsi:type="array">
                    <item name="sortable" xsi:type="boolean">false</item>
                    <item name="visible" xsi:type="boolean">true</item>
                    <item name="label" xsi:type="string" translate="true">Skus</item>
                </item>
            </argument>
        </column>
    </columns>
</listing>

[vendor]/[module]/etc/adminhtml/di.xml

<?xml version="1.0"?>
<config xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="urn:magento:framework:ObjectManager/etc/config.xsd">
    <type name="Magento\Sales\Model\ResourceModel\Order\Grid\Collection">
        <plugin name="ordercolumn_grid_load_before" type="[vendor]\[module]\Plugin\Admin\Order\Grid" sortOrder="10" disabled="false"/>
    </type>
</config>

and then Create a plugin file.

[vendor]/[module]/Plugin/Admin/Order/Grid.php

<?php
namespace [vendor]\[module]\Plugin\Admin\Order;

use Magento\Backend\Model\Auth\Session;
use Magento\Framework\App\ResourceConnection;
use Magento\Framework\Data\Collection\EntityFactoryInterface;
use Magento\Sales\Model\ResourceModel\Order\Grid\Collection;
use Magento\User\Model\ResourceModel\User\Collection as UserCollection;

class Grid extends \Magento\Framework\Data\Collection
{
    protected $coreResource;

    protected $adminUsers;

    public function __construct(
        EntityFactoryInterface $entityFactory,
        ResourceConnection $coreResource,
        UserCollection $adminUsers
    ) {
        parent::__construct($entityFactory);
        $this->coreResource = $coreResource;
        $this->adminUsers = $adminUsers;
    }

    public function beforeLoad($printQuery = false, $logQuery = false)
    {
        if ($printQuery instanceof Collection) {
            $collection = $printQuery;

            $joined_tables = array_keys(
                $collection->getSelect()->getPart('from')
            );

                $collection->getSelect()
                    ->columns(
                        array(
                            'skus' => new \Zend_Db_Expr('(SELECT GROUP_CONCAT(`sku` SEPARATOR " & ") FROM `sales_order_item` WHERE `sales_order_item`.`order_id` = main_table.`entity_id` GROUP BY `sales_order_item`.`order_id`)')
                        )
                    );

        }
    }
}

I found solution for this,

First require to add sku column on sales grid as per describe in question, To display also in csv and xml file, we need to override following two files,

1. /vendor/magento/module-ui/Model/Export/ConvertToCsv.php
2. /vendor/magento/module-ui/Model/Export/ConvertToXml.php

Now, we need to add custom code on function getCsvFile() as per below,

public function getCsvFile()
{
    $component = $this->filter->getComponent();


    $name = md5(microtime());
    $file = 'export/'. $component->getName() . $name . '.csv';

    $this->filter->prepareComponent($component);
    $this->filter->applySelectionOnTargetProvider();
    $dataProvider = $component->getContext()->getDataProvider();
    //exit(get_class($dataProvider));
    $fields = $this->metadataProvider->getFields($component);

    $options = $this->metadataProvider->getOptions();

    $this->directory->create('export');
    $stream = $this->directory->openFile($file, 'w+');
    $stream->lock();
    $stream->writeCsv($this->metadataProvider->getHeaders($component));
    $i = 1;
    $searchCriteria = $dataProvider->getSearchCriteria()
        ->setCurrentPage($i)
        ->setPageSize($this->pageSize);
    $totalCount = (int) $dataProvider->getSearchResult()->getTotalCount();
    while ($totalCount > 0) {
        $items = $dataProvider->getSearchResult()->getItems();
        //  echo '<pre>'; print_r(get_class($dataProvider)); exit;
        foreach ($items as $item) {
            if($component->getName()=='sales_order_grid') {
                $objectManager = \Magento\Framework\App\ObjectManager::getInstance();
                $order = $objectManager->create('Magento\Sales\Model\Order')->load($item->getEntityId());
                $items123 = $order->getAllItems();
                $skuArray = [];

                foreach ($items123 as $key => $item1) {
                    $skuArray[] = $item1->getSku();

                }
                $export_status = implode(", ", $skuArray);
                $item->setSku($export_status);
            }
            $this->metadataProvider->convertDate($item, $component->getName());
            $stream->writeCsv($this->metadataProvider->getRowData($item, $fields, $options));
        }
        $searchCriteria->setCurrentPage(++$i);
        $totalCount = $totalCount - $this->pageSize;
    }
    $stream->unlock();
    $stream->close();

    return [
        'type' => 'filename',
        'value' => $file,
        'rm' => true  // can delete file after use
    ];
}

I think the best solution is to make a preference for \Magento\Sales\Ui\Component\DataProvider\Document and override getCustomAttribute($attributeCode) method

Example file (\Magento\Sales\Ui\Component\DataProvider\Document):

    /**
     * @inheritdoc
     */
    public function getCustomAttribute($attributeCode)
    {
        switch ($attributeCode) {
            case self::$stateAttributeCode:
                $this->setStateValue();
                break;
            case self::$customerGroupAttributeCode:
                $this->setCustomerGroupValue();
                break;
        }

        return parent::getCustomAttribute($attributeCode);
    }

    /**
     * Update invoice state value
     * Method set text label instead id value
     * @return void
     */
    private function setStateValue()
    {
        $value = $this->getData(self::$stateAttributeCode);
        /** @var \Magento\Framework\Phrase $state */
        $state = Invoice::getStates()[$value];

        $this->setCustomAttribute(self::$stateAttributeCode, $state->getText());
    }

    /**
     * Update customer group value
     * Method set group code instead id value
     * @return void
     */
    private function setCustomerGroupValue()
    {
        $value = $this->getData(self::$customerGroupAttributeCode);
        try {
            $group = $this->groupRepository->getById($value);
            $this->setCustomAttribute(self::$customerGroupAttributeCode, $group->getCode());
        } catch (NoSuchEntityException $e) {
            $this->setCustomAttribute(self::$customerGroupAttributeCode, 'N/A');
        }
    }