A knot to my finger!
To embed or merge a pass* to an EXR file in Arnold, first we need to access the SELECT DRIVER option to bring out the defaultArnoldDriver in the attribute editor in Maya. Once the Attribute Editor is open, look for the Advanced Output and check the MERGE AOVs. This will allow the pass to be embedded inside the EXR file output, no need for a separate render layer.
*Z Depth, ID, Beauty, Diffuse, Specular, etc