I suspect that it might be easier to exchange into Coconut Mallory in Key West, but I wouldn't actually recommend ever doing so. It's barely in Key West at all, being just over the little bridge from Stock Island and a good 4+ miles away from Old Town and Mallory Square. We used to own a week there ---
very happy to do so no longer.
Then again, CM may not be even affiliated with RCI anyhow, as the OP clearly specified as the exchange company. When we owned there, CM was only affiliated with II. On site sales weasels regularly claimed that RCI affiliation was "coming very soon", but you know what they say about sales weasels' lips moving...