My
on this is that the exhaust exiting through the rocker, aside from cool looks, is primarily so that a lowered car doesn't have it's exhaust scraping the ground.
That in mind, I don't know if you are planning to lower your car to that extent or if you are having the exhaust in the stock location as far as the midpipes and mufflers and are just thinking about having the tips go up and out of the rockers, but I would imagine there may be vibration issues from the exhaust, especially if you have a lump cam.
Granted, you may design it so that the exhaust exit is not fixed to the actuaul rocker, but there would still need to be sufficient clearance so that the end of the exhaust isn't hitting the rocker. Sort of how the Cuda exhaust goes through the rear valance.