I wondered about this one myself a while back. I'm not absolutely positive about this but it is definitely in the ballpark.
Here's what I know for the background:
I believe the first paper on exotic spheres in physics was by Witten [Commun. Math. Phys., 100, 197–229 (1985)] and centered around the idea that exotic spheres can be interpreted as gravitational instantons. You can download the paper here.
Randy Baadhio spent some quality time in the early 90's on this idea and the physical interpretation of exotic spheres as instantons. I believe this paper was the first one he wrote on the subject.
Baez also did a pretty good walk-through of exotic spheres in week141 and eventually provides a bit of physical motivation in a string theory context about how they pop up.
More or less here's the interpretation: (and keep in mind Witten gives the basic physical interpretation you are asking about in the 2nd paragraph of the abstract to his paper.)
If you are stuck with gravitational anomalies in your theory (probably caused by a one loop diagram somewhere in there), these global gravitational anomalies lead to restrictions on the fermion zero modes of an instanton field and those instantons can be put into correspondence with exotic spheres.
Hopefully someone else can jump in and sharpen that explanation up for me.