You may add a button in the footer of the modal dialog (e.g. using global Startup Script) and add a click handler to select all options, e.g.
$("#ew-modal-lookup-dialog .modal-footer")
.prepend('<button type="button" class="btn btn-default">Select All</button>')
.click(e => $("#ew-modal-lookup-dialog .select2-results__option--selectable:not(.select2-results__option--selected)").mousedown().mouseup());