The only thing that readily comes to my mind would be the exhaust shroud itself, but I'd not touch it too soon after the engine was shut down. The purpose of these is to deflect the exhaust gases backwards, just like any other tail pipe. This is readily evident on a King Air (or any other aircraft using the same setup) because the PT6 is a reverse flow engine; the turbine and exhaust sections sit in the front of the engine, while the intake and compressor sit near the rear.
As I sit here, really the only other thing that might come to mind would be the drain mast, but that sits back behind the nacelle and gear doors - nowhere near the exhaust. It's not seen in the picture below, but the exhaust shroud is rather prevalent.
Photo Credit: Meisner Aircraft