Yes, exhaustion stays with creatures that the polymorph spell changes. Polymorph doesn't say directly that it gets rid of conditions, so rules as written, Exhaustion stays with the creature even after it has been changed. Now, if a creature polymorphs into a creature that is immune to the Exhausted condition, it won't get tired while it is changed. Since polymorph doesn't say it cures conditions, when they go back to their original form, they still have the same level of Exhaustion as before.Still, this is a rule that depends a lot on the GM. So, if the situation comes up, ask your Game Master what the rules are.