You can choose to migrate Project Online Project Site Artifacts (e.g. Issues, Risks, etc.) to the Dataverse. To do so, you will need to select the appropriate Project Site Lists in Configuration Mapping section.

By default, Risks are mapped to msdyn_projectrisk table and Issues are mapped to msdyn_projectissue table, however, it is possible to map to a different table if required.
In case if there are custom lists that needs to be migrated, you will need to enter custom list's title and select the target table:

Fields mapping is performed automatically using field titles, i.e. SharePoint list field named "Description" will be automatically mapped to the field with "Description" title in the target Dataverse table. If you would like to map fields with different titles, please consider temporary change in the title during the migration, and then rename it back when migration is complete.
There are also pre-defined mappings when the migration is performed to msdyn_projectissue and msdyn_projectrisk tables:
Issue -> msdyn_projectissue
| SharePoint field | Dataverse field |
| Title | msdyn_name |
| Owner | proj_requestor |
| AssignedTo | proj_assignedto |
| Status | proj_state |
| Category | proj_issuecategory |
| Priority | proj_priority |
| DueDate | proj_duedate |
| Discussion | msdyn_description |
| Resolution | msdyn_resolution |
Risk-> msdyn_projectrisk
| SharePoint field | Dataverse field |
| Title | msdyn_name |
| Owner | ownerid |
| AssignedTo | proj_assignedto |
| Status | proj_state |
| Category | proj_category |
| Priority | proj_priority |
| DueDate | proj_due |
| Probability | proj_probability |
| Impact | proj_impact |
| Cost | proj_cost |
| Description | msdyn_description |
| Mitigation_x0020_plan | msdyn_mitigationplan |
| Contingency_x0020_plan | msdyn_contingencyplan |
Choice field values are not populated automatically. Target Option Set in the Dataverse should have values with the same labels as in the source to migrate data successfully. Otherwise, the SharePoint field values that have no values with same labels in the Dataverse field will be set to default value after migration.
It is especially important for Status, Category and Priority fields in Project Accelerator, as by default, Project Accelerator options for these fields don't match Project Online options.