A very interesting topic! I never even thought someone might set themselves the task of hiding the fact that the coins they withdrew from an exchange are still in their possession.
I usually use Lightning to deposit bitcoins to exchanges, not to withdraw from them. And in my four years of using it this way, I’ve gotten the impression that none of the exchanges try to trace the network to figure out where a deposit came from. That’s why I think that after a withdrawal through Lightning, the exchange won’t try to find out whether the bitcoins remained with the client or were passed on to someone else.

But if I were paranoid, I’d probably solve the task like this: I would withdraw fiat money from the exchange into a bank account. From there, bank secrecy comes into play. Neither the exchange nor anyone who gains access to its logs would be able to know whether the money stayed in my bank account or was converted back into bitcoins on platforms like Robosats or LNP2PBOT, where there’s no KYC.