OK.... You got me thinking, and think I may of just figured out a much cheaper and easier way to do this if there is still some threads at the cylinder.
Say you take a standard BMW finned exhaust nut.
Then take a hacksaw and cut it completely through on one side, leaving a gap.
Find a high strength stainless steel exhaust clamp that exactly fits around the non-finned portion of the nut. There are a number of styles to choose from this type would be ideal.
If sized correctly this style would work as well.
Take a triangular file and clean up the threads that are left at the cylinder so there are no large burs or metal that sticks out then coat it with anti-seize.
Slide your stainless clamp on the nut, slide the nut on your exhaust pipe and hand tighten it in place just like you would normally. Now you want to tighten the clamp around the nut to the point you can no longer turn in by hand, this will effectively reduce the diameter of the nut giving you the maximum thread contact. Put a wrench to the nut and tighten it just enough to get a seal, without stripping or destroying what remains of the threads. Now tighten the clamp tight around the nut to compress and lock it in place.
Once tightened in place this would hold in place mechanically the same way as Walter's solution, but you wouldn't tighten the pipes connection to the cylinder head further. It might be a little harder to get a good seal, but once you get it, it should work at a fraction of the expense.