Hello friend, you don't have to exit All India(AI) counselling if you want to participate in West Bengal counselling. You just have to fill the West Bengal state counselling form. 

West Bengal MBBS 2019 counselling will be conducted in online mode and will have two rounds. The registration for the first round of West Bengal MBBS counselling has begun on June 25, 2019.A manual mop-up round will also be held after online rounds, but only if there are vacant seats left. The counselling process is open to candidates listed in West Bengal MBBS 2019 merit list, which will be prepared based on NEET 2019 scores. So, all aspirants need to qualify NEET.

For more information you can visit the given link- https://medicine.careers360.com/articles/west-bengal-mbbs-counselling