Cyclopean Mummy

• WWizards of the Coast2004-10-04
  Official Ruling
  The Mummy does go to the graveyard and trigger abilities which watch for something going to the graveyard. It then gets exiled as a triggered ability.
• WWizards of the Coast2004-10-04
  Official Ruling
  It does not get exiled if it goes to the graveyard from someplace other than the battlefield. This includes discarding from your hand or if the spell is countered.

Rulings via Scryfall