Collecting exuviae (last nymphal exuviae) is a common practice for entomologists who study Odonata and their faunistics, ecology and geographic distribution. Exuviae of dragonflies are sometimes easier to be found and taken than the adults, as well as exuviae can be collected without damage to dragonfly populations. As regards Lepidoptera, I don't know, but I suppose that collections of lepidopteran pupae and/or pupal exuviae must exist, e. g. because also in this life stage there are important taxonomic characters (cremaster, for instance) studied by systematic entomologists,
They are as it is a common practice. I would suggest you simply email the collections near to your research area and see if they have any or if you can visit to examine the material. I would not say it is the most common thing to see but at least one or two per drawer usually do have pupal exuviae. This seems more common with small moths and with taxonomists working with them.
In internet you can find data, for instance, on "Annette Aiello Lepidoptera Collection (STRI-AALC)". This collection contains also pupal exuviae, mostly from Neotropical Lepidoptera. You can carry on the research using key words as 'collection', 'lepidoptera', 'butterflies', 'moths', 'pupal exuviae', 'pupae', and so on.
If you will not be lucky with American collections, we house in Finnish Museum of Natural History (Univ Helsinki, Finland) an organized and identified collection of Lepidoptera larvae and pupae. There are several thousand pupal exuviae across the whole order in this collection.
I agree with Will Reeves; this is a common practice and most insect museums that house Lepidoptera will also have specimens of pupal remains. However, it might be particularly useful to contact the collections associated with some of the large-scale caterpillar-rearing projects. The CAPEA project (Caterpillars and Parasitoids of the Eastern Andes) produced thousands of specimens, all reared from caterpillars, and many with pupal remains. The same is true for Dan Janzen's caterpillar-rearing project in Guanacaste, Costa Rica, which has been conducted for decades. Try contacting Jim Miller, at the American Museum of Natural History, in New York (about CAPEA), or Daniel Janzen, at the University of Pennsylvania, Philadelphia.
Yes, I had quite a collection of pupal exuviae of Bunaea alcinoe [Lepidoptera : Saturniidae] but they are old stock now. I am currently in USA, hoping to go back to Nigeria by 30th November. Their next seasonal occurrence is from February 2016 and I gather so much for you. If I have your email I will send their photographs from the ones I bred in my laboratory. My publication on their domestication will be out shortly.
I think the USNM (Smithsonian) has quite a few. You might also inquire to the Cornell University Insect Collection, which is where most of J. G. Franclemont's material is. Also University of Connecticut, where David Wagner is.
Daniel Janzen ( University of Pennsilvania) has an excellent web page with photos of pupa of moths and butterflies from Guanacaste, Costa Rica in the following link
Not in our area do I know of any pupal exuviae of lepidopterous collection because usually most of these we get from lab studies we usually discard them whether they were recovered from successful emergence or come from the failure from the effect of anti-molting or chitin inhibitors.
Thank you all for your answers. I have already contacted a museum, and I'm just waiting for the response. I'm happy to see there are several resources available.