I don't beleive you can. As far as I know, Microsoft Excel requires you to open a file. There's no way to open an Excel file in memory without a file.

You might be able to do something like this using the Microsoft Office Interop classes in DotNet to create an instance of Excel, create a new worksheet and populate it with data. But there is no intergration with this and the UltraWinGrid exporting feature, it's something you would have to code outside the grid.