Solution
mgmt_cli -r true –format json show generic-objects class-name com.checkpoint.objects.classes.dummy.CpmiUser | jq .objects[].name

Note: there is no official API support for locally defined users, so “generic objects” have to be used here. If you have more than 500 users, you will have to execute variants of this command multiple times. For example, to get the next 500 users:
mgmt_cli -r true –format json show generic-objects class-name com.checkpoint.objects.classes.dummy.CpmiUser limit 500 offset 500 | jq .objects[].Name