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In polaritons, the properties of matter are modified by mixing the molecular transitions with light modes inside a cavity. Resultant hybrid light-matter states exhibit energy level shifts, are delocalized over many molecular units and have a different excited-state potential energy landscape which leads to modified exciton dynamics. Previously, non-Hermitian Hamiltonians have been derived to describe the excited states of molecules coupled to surface plasmons (i.e. plexcitons), and these operators have been successfully used in the description of linear and third order optical response. In this article, we rigorously derive non-Hermitian Hamiltonians in the response function formalism of nonlinear spectroscopy by means of Feshbach operators, and apply them to explore spectroscopic signatures of plexcitons. In particular we analyze the optical response below and above the exceptional point that arises for matching transition energies for plasmon and molecular components, and study their decomposition using double-sided Feynman diagrams. We find a clear distinction between interference and Rabi splitting in linear spectroscopy, and a qualitative change in the symmetry of the lineshape of the nonlinear signal when crossing the exceptional. This change corresponds to one in the symmetry of the eigenvalues of the Hamiltonian. Our work presents an approach for simulating the optical response of sublevels within an electronic system, and opens new applications of nonlinear spectroscopy to examine the different regimes of the spectrum of non-Hermitian Hamiltonians.