Of course you can, as long as you take into account the namespaces your current class is in, and the namespace your exception class is in.
Assuming, with the little info you have given, that "Test" is the namespace of your module, and "Exception" is the standard PHP exception class, you need to use
throw new \Exception('load this from the global namespace');
If you don't add the leading backslash, PHP will try to find the class in the current namespace, where it doesn't exist.
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