Yes, you most certainly can! 💡
Exchange orders are completely separate orders from the original order and a return for the exchange order can only be started on the exchange order itself.
Only the refund itself would need to be issued on the original order in this case. The inventory for the original item has already been restocked in the previous step (if this was selected), so Shopify will automatically deny any additional restocking. Both inventory and accounting should be settled in this scenario.
Another mystery solved! 🕵🏻