This app was mentioned in 3 comments, with an average of 4.67 upvotes
As far as I know, Relay doesn't have this feature. Not yet. I use this to download Imgur albums, all you have to do is enter the url.
If your on Android get imjur album download. It's an app that lets you download an album and all you need is the link. If you use iOS throw your phone away because it's trash.
https://play.google.com/store/apps/details?id=com.blueleaf.imguralbumdownloader
I found that this one works great even though it's not a pretty app. I know you're suggesting a feature to be added but this will help you until then.
https://play.google.com/store/apps/details?id=com.blueleaf.imguralbumdownloader