If the damaged area is small then a skrim or jointing tape can be used, if the damaged area is large then it must be cut back to the joists, replaced, jointing tape applied then skimmed.
Not a good idea :(Possible exception is if you have BIG hole to fill and and do not expect to sand it at all ... thin set is for flooring and is difficult to sand down.
Paper backed exterior drywall was discontinued over ten years ago because the paper facing provides a food source for mold when sujected to moisture. The replacement product is a moisture resistant...
Usually, there is drywall under the wallpaper. It is not difficult to remove the wallpaper (by steaming, or another method) to get to the basic drywall. Then, you can texture it and then paint it.