Is there a way to directly save DNG Sequences to 16bit exr Sequences in Photoshop or After Effects?
Using After Effects this is not an issue. After Effects has CameraRAW support and by that also support importing DNG sequences.
You import them just as you would any other image sequence.

Then simply make the sequence into a composition and add it to the render queue.
AFAIK After Effects has the OpenEXR plugin integrated since CS5.5. In case I'm wrong you can get the great ProEXR plugin for Photoshop and After Effects from fnodware (I'm not affiliated). To do the same with a few more format options.