This would be great, and a huge advantage to the network and for security of exchanges and customers alike.
But will the exchanges do this?
It may be they already sell BTC they don't have. These exchanges are not run by paragons of virtue!
Getting BTC-e, Stamp and Gox all doing this looks tough - UNLESS they are more afraid of security issues than being found out for what they are (potentially) hiding from the market. It is possible on balance this is the case.
It would be a leap forward if it worked - but it will take the will and a lot of work.
EDITED to remove thoughts on how they could sell coins they don't actually have - no need to freak everyone out!
In order to get the ball rolling it's only necessary to get three sites to join the first pool. Once that happens, we've got a method for adding new members to the pool one at a time (up to the Bitcoin protocol maximum of 20).
So maybe you don't start with BTC-e, Stamp and Gox to begin with. Perhaps you convince LocalBitcoins, CampBX, and Coinfloor.
Then you make it a competitive disadvantage to not join the pool by heavily emphasizing how much more secure deposits are in the exchanges that join a pool versus those who do not until the remaining exchanges either join up, or experience a run on the bank which reveals their insolvency.