Can being underweight cause fatigue or exercise intolerance?

Yes. An individual needs enough energy stores during exercise to avoid fatigue or cramps. The body preferentially burns simple and complex carbohydrates first, then protein, then fat. If you don't have enough carbohydrate energy stores then protein (muscle) is broken down and then fat. The caveat is that some well trained underweight people don't have a problem but they have done extensive training.