GrapheneOS provides Seedvault that you could use to transfer your backup from CalyxOS to GrapheneOS. That said, please note that Seedvault is not very reliable.
I would highly recommend backing up apps that can be backed up manually by that avenue, and downloading the apps once you install GrapheneOS to import said backup. It may initially be more bothersome, but you're going to have a much better time migrating that way.
The plan is for Seedvault to be replaced with a much better implementation, but that's not ready quite yet. Once it is, though, it should make backing up stuff on GrapheneOS to transfer to another GrapheneOS device a much better experience.
P.S. Welcome to GrapheneOS! If you have any further questions, feel free to let us know, or DM me on Matrix; you can find my Matrix ID in my bio here.