So you are okay with any rain, snow, moisture getting directly in the wall?
I'm in the dessert and we don't allow it. Stucco, vinyl, brick, etc. As stated earlier, most exterior boxes are not listed to be in stucco,brick, etc. Here we have the install WRB then cement board and mount the box to that and stucco to the cement board. If vinyl, usually installed on top of uni-strut after vinyl. Same with brick, box installed after brick. These areas are usually done first so the box can be set to get rough-in.