UEFI Local boot to drive

[NiKiZe]

Does exit work and let the uEFI firmware load the next bootdevice in the list?

The alternative is to load the next efi executable - this would involve finding the disk and loading it from there, you might be able to for example load grub from ipxe and use that to run efi file from disk.
If you just want to boot windows, maybe you can load windows bootmgr.efi over ipxe and it can then load the rest from first found disk.