Yeah, it's a good idea, and 99.999% chance you aren't the first one that thought of this.

lightning spend on lightweight self custody everyday phone wallet (EDC wallet, for everyday carry), buy on exchange, lightning withdraw to EDC wallet. Sounds great, why did no one do this?

1 problem, low demand. (Few people actually spending bitcoint)

Ignoring that, let's look at the technical issue. how do you interface with the exchange to do the replace part?

You need a solution / exchange api that is flexible enough to let you automagically authenticate and market buy, but not so flexible it lets a bad guy drain your exchange wallet if your day to day spending wallet is compromised (you lose your phone).

Further, you want to be able to link multiple day to day spending wallets with multiple exchanges, with the least maintenance burden to devs.

So you probably want some common interface or BOLT or BIP or protocol or something like that.

But exchanges want to make themselves as unique and inconvenient as possible to protect their competitive business moat. So there's that.