Giving EXEC (@Variable) a Column name and Concatenation
You will need to mix your 3 dynamic SQLs into 1 that returns 3 columns, or keep each dynamic SQL but mix their result at the end. There are 2 possible solutions following:



One solution is to use UNION ALL and the PIVOT to get 1 row with 3 columns, all inside the dynamic SQL.

Change this part:

DECLARE @OrphanAuditItems NVARCHAR(MAX)
DECLARE @OrphanAuditAnswers NVARCHAR(MAX) 
DECLARE @OrphanAuditQuestion NVARCHAR(MAX)

--.....

SET @OrphanAuditItems = N'SELECT COUNT(*) FROM [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[AuditItems] 
                                                    WHERE FK_Audit NOT IN (SELECT SystemID FROM [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[Audits])'

SET @OrphanAuditAnswers = N'SELECT COUNT(*) FROM [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[AuditAnswers] 
                                                        WHERE AuditItemId NOT IN (SELECT SystemID FROM [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[AuditItems])'

SET @OrphanAuditQuestion = N'SELECT COUNT(*) FROM [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[AuditQuestion] 
                                                        WHERE AuditId NOT IN (SELECT SystemID FROM [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[Audits])'

EXEC (@OrphanAuditItems)
EXEC(@OrphanAuditAnswers)
EXEC(@OrphanAuditQuestion)


For this:

DECLARE @DynamicSQL NVARCHAR(MAX) = N'
    ;WITH PrePivot AS
    (
        SELECT 
            Amount = COUNT(*),
            Type = ''OrphanAuditItems''
        FROM 
            [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[AuditItems] 
        WHERE 
            FK_Audit NOT IN (SELECT SystemID FROM [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[Audits]) 

        UNION ALL

        SELECT 
            Amount = COUNT(*),
            Type = ''OrphanAuditAnswers''
        FROM 
            [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[AuditAnswers] 
        WHERE 
            AuditItemId NOT IN (SELECT SystemID FROM [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[AuditItems])

        UNION ALL

        SELECT 
            Amount = COUNT(*),
            Type = ''OrphanAuditQuestion''
        FROM 
            [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[AuditQuestion] 
        WHERE 
            AuditId NOT IN (SELECT SystemID FROM [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[Audits]) 
    )
    SELECT
        P.OrphanAuditItems,
        P.OrphanAuditAnswers,
        P.OrphanAuditQuestion
    FROM
        PrePivot AS T
        PIVOT (
            MAX(T.Amount) FOR T.Type IN ([OrphanAuditItems], [OrphanAuditAnswers], [OrphanAuditQuestion])
        ) AS P '

-- PRINT (@DynamicSQL)
EXEC (@DynamicSQL)


Make sure to use the PRINT to validate the resulting SQL before executing the EXEC.



Another solution is to retrieve the values into variables, using sp_executesql with OUTPUT parameters:

-- Items
DECLARE @OrphanAuditItems INT

DECLARE @DynamicSQL NVARCHAR(MAX) = N'
    SELECT
        @OrphanAuditItems = COUNT(*)
    FROM
        #OrphanResults AS O
        CROSS JOIN [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[AuditItems]
    WHERE 
        FK_Audit NOT IN (SELECT SystemID FROM [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[Audits])'

EXEC sp_executesql 
    @stmt = @DynamicSQL,
    @params = N'@OrphanAuditItems INT OUTPUT',
    @OrphanAuditItems = @OrphanAuditItems OUTPUT


-- Answers
DECLARE @OrphanAuditAnswers INT

SET @DynamicSQL = N'
    SELECT 
        @OrphanAuditAnswers = COUNT(*) 
    FROM 
        [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[AuditAnswers] 
    WHERE 
        AuditItemId NOT IN (SELECT SystemID FROM [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[AuditItems])'

EXEC sp_executesql 
    @stmt = @DynamicSQL,
    @params = N'@OrphanAuditAnswers INT OUTPUT',
    @OrphanAuditAnswers = @OrphanAuditAnswers OUTPUT


-- Questions
DECLARE @OrphanAuditQuestion INT

SET @DynamicSQL = N'
    SELECT 
        @OrphanAuditQuestion = COUNT(*) 
    FROM 
        [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[AuditQuestion] 
    WHERE 
        AuditId NOT IN (SELECT SystemID FROM [Dynamic].['+ CAST (@TenantId AS NVARCHAR) +'].[Audits])'

EXEC sp_executesql 
    @stmt = @DynamicSQL,
    @params = N'@OrphanAuditQuestion INT OUTPUT',
    @OrphanAuditQuestion = @OrphanAuditQuestion OUTPUT

SELECT
    OrphanAuditItems = @OrphanAuditItems,
    OrphanAuditAnswers = @OrphanAuditAnswers,
    OrphanAuditQuestion = @OrphanAuditQuestion


I find the latter a bit more flexible and readable than the first.