Thanks but this is actually a command that's part of a cronjob (run daily) so I can't do it through phpMyAdmin.
The reason I don't want to add each database individually is because I'm constantly adding and removing databases and I don't want to update the script every time.
It seems crazy but here's what I think I have to do for this to work.
(as root)
mysql -uroot -ppass<CREATE TABLE master_db.db_names AS SELECT Db FROM mysql.db
and then export the new table and create the dump statement based on the contents.
Is there an easier way?