The next step is to make a completely decentralized exchange, where there are no people involved, except the two people doing any particular transaction. It would be something like a totally automated
LocalBitcoins - https://localbitcoins.com/.
Having such would completely take the taxing authority out of the picture... at least in the USA, where freedom to contract is outside of the IRS, if the people involved are simple individuals.
Sounds like a business idea

However, please note, that the US can come into any jurisdiction and make them apply KYC regulations. For instance, they even brought swiss banks to US courts for not disclosing some dealings with US customers, when the bank in question operated on Swiss soil and under Swiss law. Can't the same happen to the crypto exchange like the one you described?