Your deposit transaction will lead to the exchange. Assuming your exchange has KYC, then either via data leak or subpoena, that also will lead to your withdrawal. So no, ... that gains you nothing and worse, gives a KYC exchange more info on you.

There's a reason CoinJoin (whether JoinMarket, Whirlpool, etc.) is fairly widely employed by those wanting to maintain their financial privacy -- because other methods are flawed.