delete all my private messages with someone

Hello,

I'd like to know how to delete all my messages in a private conversation with someone. It's about 17,000 messages, which is quite a long process to do manually, and I'm afraid that using a script might lead to a ban. I also don't know if it's possible to ask Discord to delete them due to GDPR/RGPD.

(I'm French, sorry for my English)