In theory one can use multiple stages to increase efficiency, such as adding a thermoelectric generator stage to your internal combustion engine. Indeed, if one looks to the extreme, we find structures like Matrioshka Brains which are built like giant onions around a star with many stages, striving to achieve 99% efficiency or more.
However, there are practical considerations. Many approaches for adding a second stage interact with the first stage. In your example, if the thermoelectric generator takes up too much space inside the exhaust system, it decreases air flow, making the engine less efficient by a larger margin than your generator. One also has to consider the losses due to hauling around more mass. One also has to consider the cost of the hardware. There's a reason we don't see a market for "DIY add-on stage for a F-150."
Typically, these balances have been explored. Eeeking 10 or 15 watts out of the exhaust of a 150,000 watt engine is typically not worth the extra mass.
One interesting place where we do in fact make such tradeoffs is in turbochargers. Turbochargers compress the air entering the engine, providing many opportunities such as extra performance. However, compressing air is not easy. It takes a lot of energy to do so. In a turbocharger, the flow of exhaust is used to spin a turbine to compress the air.