The export is based upon the grid you are rendering so if you want to add additional columns you need to add them to the grid. If you don't want to show them you need to do some custom code that hides them for specific conditions or change the grid your are exporting.
With orders however you need to note that the data is not all stored in order grid table since it only stores data used in the default grid.
So you either need to change the collection model used in Mage_Adminhtml_Block_Sales_Order_Grid method: _getCollectionClass
class Mage_Adminhtml_Block_Sales_Order_Grid
And the method
protected function _getCollectionClass()
To fit what you need. Or you can add the fields to the grid table and then make magento move them there via the config.xml (See the Sales moduls config.xml)