Which exchange allow us to do so?
We will do some trading on top of that.
I did this before when xvc and zcash are still giving little earnings even I'm just using my laptop I directly send my mined coins inside bittrex coming from supranova mining pool I'm not sure if I get what you are asking but as long as you have the right address it will be send to your exchange account.
Supernova is a bad example because you mine to your Supernova account, then transfer to your wallet.
The question refers to no-login mining where the exchange's deposit address is used as the worker.