How to export RAW images from Photos to editing program.

You can always access the original raw file by exporting: File -> Export -> Export Unmodified Original

If On1 opt to, they can make a plug-in that would allow you to send a Raw to their app, but that's up to them.

More importantly, you might ask yourself why you're using both apps. As you're discovering, getting them to work together is not simple. This is because they are both photo managers, both have non-destructive processing and they sit at the same place in the workflow. Essentially, On1 is not an editor like Photoshop or Affinity Photo. It wants to manage the images - just like Photos does. It's a bit like writing your novel in two word processors at the same time, or having two address books. How do you keep the other updated? The best advice I can suggest is to pick one horse and ride it. On1 PhotoRaw is a far more capable app than Photos (as it should be at the cost), so I know which one I'd pick.

essentially when I download my photos from my camera, they load (JPEG and RAw) into Photos

They don't have to. You can use any app you prefer.

So once they are sitting in Photos, I want to edit in On1.

But your issue is that ON1 is not that kind of editor... There are two kinds of image editors: pixel editors like Photoshop and Affinity Photo (tho they are only examples, there are many more). The apps actually change the pixels in the photograph. If you crop with them then pixels are removed from the file. It's so-called 'destructive editing'. That's what you think you're using. ON1, like Lightroom Classic or Photos (again, examples not an exhaustive list) is a parametric editor. It records your choices in its database and shows them to you, but never touches the original photograph, preserving it. (Hence they re called 'non-destructive') These apps, being database driven, can only work on files imported to them, and can only send files to other apps by some form of exporting. Whereas with a pixel editor you changes are saved with simple Save command.

If I right click i have the option to ‘Edit’ with…but they always turn back to JPEGs.  

This is normal behaviour. Photos is preserving the original and sending a version to ON1. See? Also this is designed to 'round-trip' the image to an editor. Edit with, say, Affinity Photo, sends the jpeg to Affinity where you do your edits. Save and the new version comes back to Photos

That you're trying to process a Raw adds a layer of complexity. There is no way to round-trip a Raw unless the makes of the app write a special plug in for it.

So you're trying to use two parametric editors as if you had a file manager and pixel editor. Solution, use one of the apps and forget the other one.

Incidentally, this has been this way since the days of iPhoto.