Idk if exchanges are allowed to be blinded from their users.

An interesting alternative, start a liquid swap to bitcoin and withdraw to the liquid address from current exchanges that support

For exchanges that don't support liquid as yet, withdraw to a peg-in btc address and then swap/peg-out to a your btc address

... still custodial hop, and still needs an anonymity set (on Liquid), but exchanges get to maintain regulatory compliance