Would it be someone adding multiple lines of code from multiple other cryptocurrencies or is it the exchange that decides whether or not , they can be transferred from one to another?
You can't just merge 2 blockchains to send coins 'from one to another'.
I think you might talk about interfaces which trigger a transaction on another chain?
An exchange has nothing to do with this kind of approach to create connected chains. There will be never the possibility to move coins across chains.
You can find a lot of useful information in some projects which deal with this kind of 'mechanism'. Ark [1] with their 'smart bridges', lisk [2] and rise[3] with sidechains.
[1] https://ark.io/
[2] https://lisk.io/get_started
[3] https://rise.vision
