Are names converted from one alphabet to another also exonyms?


Not if this conversion has been effectuated according to an UN-recognised system.

ЧЕЛЯБИНСК -Čeljabinsk

(converted according to the UN-recognised system, GOST 83)
is no exonym,

but the following ones are:

Chelyabinsk (Eng)

Tscheljabinsk (Ger)

Tcheliabinsk (Fr)

There is one more example:

Aigaion Pelagos is the Greek name of Aegean Sea (in Roman transcription).

Aigaion Pelagos is an endonym,

Aegean Sea is an exonym.