Exercise doesn't just burn calories during the period of time in which you are performing the exercise though. '200 calories' after 30 minutes of running doesn't mean that the run burned 200 calories. It means you burned 200 calories in that 30 minutes - over time, the running also builds leg muscles and encourages other physiological changes in your body that boost your base metabolic rate, allowing you to burn more calories even while sleeping.

To build that muscle, you have to feed it, so consuming more to burn more isn't necessarily out in left field as far as nutritional science goes.