Yes there is. If you know how to download a game pgn already (using chess.com "share" button), then it is the same thing except you check the "comments" on right before you download. The icon by the check box looks like a chatting speak bubble if I recall; this is from memory though. Let me check and here is a "sample" pgn just to see if you can download it. You can use this as a test.
Is there a way to download annotated chess opening pgns