I'm not sure why you're trying to create a temp table in an exec statement, but I have some ideas because I used to do it myself. So I have workarounds.
If you're really trying to query data (i.e. "select ... into") and you already know the structure, make the temp table in the main session scope ( create table #mytemptable ... ) and fill it, which you can do, in the dynamic SQL (exec ('insert into #mytemptable ...').
Alternatively, if you don't know the structure and are trying to figure it out programmatically, you can create the temp table in session with a dummy column, and issue dynamic ALTER TABLE commands (exec ('alter table #mytemptable ...'), then at the end, remove the original column.