I don't understand what's the point of doing that when CEX exchange can only be used with kyc verified account, and there is nothing anonymous about that.
Everything that you send or withdraw from CEX will be connected with your real life identity, and only thing you can do is to user mixers to remove this connection.
AFAIK Kucoin doesn't ask for KYC so it is possible to deposit/trade/withdraw crypto from there without revealing your identity. With that being said, i still wouldn't use them for larger amounts of money as just because they usually don't ask for KYC it doesn't mean they won't if you try to withdraw bigger amounts.