American Exceptionalism is not the theme of the BioShock series.
The theme of the BioShock series is 'choice'.
Creative Director Ken Levine, on the major themes in the first BioShock:
The back of the box mentions combat alone, with no allusions to the greater themes. Did you find you had to manipulate how you presented the game to different groups?
Ken Levine: You know, marketing it as "The ultimate in first-person Objectivist shooters" is not really the right path to go.
Notice how he doesn't mention American Exceptionalism, but does mention objectivism.
Again, on the series in general:
"To me, there's two things that make a 'BioShock' game 'BioShock.' They take place in a world that is both fantastic and ridiculous. Something that you've never seen before and something that nobody else could create except Irrational, but it's also strangely grounded and believable. The other thing that makes it a 'BioShock' game, it's about having a huge toolset of power and a huge range of challenges, and you being able to drive how you solve those challenges."
[Emphasis added. Source here]
Furthermore, look at Andrew Ryan's "A man chooses, a slave obeys" and the continuously repeating "Would you kindly..." messages, as well as Delta's drive to save Eleanor in BioShock 2. Nowhere is American Exceptionalism mentioned, except as it relates to BioShock Infinite, indicating that it is not a major theme of the series, but rather a theme of that particular game.