We report UV emission from a ZnO nanorod (NR) highly enhanced by coupling of excitons to cavity-enhanced second harmonic generation (SHG). A Ag cavity concentrates the exciting field into the center of the NR, producing an enhanced second harmonic (SH) response through the nonlinearity of ZnO, that spatially overlaps with an ensemble of excitons. Strong coupling to the excitons at room temperature is achieved when the SH response is spectrally tuned to the exciton transition through the NR diameter, yielding total SHG enhancements of 2 orders of magnitude. Our approach highlights a unique and simple platform for enhancing coherent, nonlinear light matter interactions in a size regime that is challenging for plasmonic architectures, yet important for optoelectronics.