If Cerberus returns through Undying or Marchesa's ability, it will return from the graveyard, not from exile. It's up to you if Cerberus ends up exiled or back into the battlefield.
Cerberus's last ability is a triggered ability that uses the stack, it doesn't happen immediately when Cerberus dies. So are Marchesa's ability and the Undying Cerberus got from Mikaeus. When Cerberus dies, both its own ability and one of the other two trigger, and then both try to go to stack at the same time. As you control both, you choose the order they are put on the stack, and therefore the order they'll resolve.
If Cerberus's ability resolves first, it is exiled and then the other ability will fail to find it on the graveyard. Cerberus stays exiled.
If Marchesa's/Undying resolves first, it will return Cerberus to the battlefield, and then Cerberus's ability will not find Cerberus on the graveyard to be exiled (the rest of the ability, returning all other cards from the graveyard, still happen normally).
If you want the second scenario, you just need to put Marchesa's/Undying on the stack last.
Marchesa is a delayed trigger, if that makes a difference.
She returns it at end of turn, but it triggers on death, so even if she's gone it still comes back.
When he dies and exiles himself, does the trigger from either one (if applicable) bring him back from exile?
Cerberus's last ability is a triggered ability that uses the stack, it doesn't happen immediately when Cerberus dies. So are Marchesa's ability and the Undying Cerberus got from Mikaeus. When Cerberus dies, both its own ability and one of the other two trigger, and then both try to go to stack at the same time. As you control both, you choose the order they are put on the stack, and therefore the order they'll resolve.
If Cerberus's ability resolves first, it is exiled and then the other ability will fail to find it on the graveyard. Cerberus stays exiled.
If Marchesa's/Undying resolves first, it will return Cerberus to the battlefield, and then Cerberus's ability will not find Cerberus on the graveyard to be exiled (the rest of the ability, returning all other cards from the graveyard, still happen normally).
If you want the second scenario, you just need to put Marchesa's/Undying on the stack last.
She returns it at end of turn, but it triggers on death, so even if she's gone it still comes back.
So to be clear:
Exile Trigger
Undying,
Resolve undying first, he's there.
Exile trigger,
Marchesa,
resolve marchesa first, exile move him, ca he still return from exile?
Thinking not.