As far as I know you cannot do that. I'd also suggest using an OUTPUT parameter instead of checking the return value. But, if you want to check the return value you can do sometihng like:
DECLARE @RetVal INT
EXEC @RetVal = _CustomerExclusion @Customer_Coverage_Id = @Coverage_Id,@Item_Number='0325803570',@Customer_Num='PT01502751'
if @RetVal > 0