You're talking about the following:
Dealing Nonlethal Damage: Certain attacks deal nonlethal damage. Other effects, such as heat or being exhausted, also deal nonlethal damage.
I believe they really mean "becoming fatigued or exhausted through exertion (as when forced marching)".
For each hour of marching beyond 8 hours, a Constitution check (DC 10, +2 per extra hour) is required. If the check fails, the character takes 1d6 points of nonlethal damage. A character who takes any nonlethal damage from a forced march becomes fatigued. Eliminating the nonlethal damage also eliminates the fatigue. It's possible for a character to march into unconsciousness by pushing himself too hard.
Exhausted: An exhausted character moves at half speed, cannot run or charge, and takes a –6 penalty to Strength and Dexterity. After 1 hour of complete rest, an exhausted character becomes fatigued. A fatigued character becomes exhausted by doing something else that would normally cause fatigue.
So if you were to forced march twice and fail the check both times, the second time you'd apply fatigued to an already fatigued character and become exhausted. Becoming exhausted in and of itself didn't do any non-lethal damage, but the forced march check failure did (1d6).