There is no method available to retrieve all event_names with a single call. (Except for ticket_groups. When you list ticket_groups for a specific event_id you will receive back ALL valid ticket_groups for that event_id.)
You may wish to cache some of the data locally in your own database tables. To do so you should incrementally loop through your list* calls populating your own table. After your initial table population you can query periodically using "updated_at.gte" and supply the timestamp you last updated your local cache.
If you are using the PHP Library ( https://github.com/ticketevolution/ticketevolution-php ) it includes "data-loaders" that do exactly that. You can then add the scripts to your cron/launchd and run them periodically to keep your data up to date. A script to build the associated tables for MySQL is available in the /scripts folder.
