This is a recipe to observe creation of files in lyx-source

1.) copy {lyx-source}/lib/doc/Math.lyx to a local directory, say ~/lyx/test/.
        This is not needed, but shows that the behaviour does not depend on
        the path of Math.lyx
2.) use your lyx from the build directory to open the file
3.) File->Export->LaTeX(LuaLaTeX)

Now go to the lyx-source
# git status

You see many untracked .pdf files like e.g. 
lib/images/math-macro-remove-greedy-param.pdf

Second scenario with installed lyx. Make sure, the lyx system dirs are not 
writeable by you

2.) open the file
3.) try the export.
        Now you are facing a dialog saying some file could not be copied.
        Click OK.
        Next dialog pops up.
        This goes on for 43 files.

        Kornel

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