Are eukaroytic promoters located in the 5' UTR region?
Most promoter elements are not a part of the mRNA sequence. They are upstream (towards 5') of the transcription start site. However, a certain class of promoters called downstream promoter elements (DPE) can overlap with the geneic region. These elements have been reported to lie at 29-33bp upstream of the transcription start site and widely employed, in Drosophila [1]. Mapping of DPEs has been done for mouse human genes as well [2]. However, a detailed analysis supported by good sequencing data is yet to be done. 

So, though DPEs are present in the transcript, I am not sure if they are retained in the exon. This can be confirmed by mapping the splice sites but this analysis is not presented in these papers.

You can see from the below figure [3] that most first exons in humans are big enough to harbour the DPE.