Me and my friend are fighting a battle. I managed to wipe all his units. Can he cut in with an ambush / combat action and drop in more units (and henceforth continue with the battle) even though he has no more remaining units on that planet?

If yes, does the battle goes straight to a new loop, or does the battle continue from where is left off (with exhausted units continuing to be exhausted and ranged units continuing to be ranged *if applicable*)

The short answer is that the game's timing does give you the opportunity to Ambush in another unit and continue a particular combat round.

It goes like this in combat (I'm leaving out the detail for Ranged here):

1. Player actions

2. Player with initiative attacks (if there are no enemies to attack, battle ends).

3. Player actions.

4. Player without initiative attacks (if there are no enemies to attach, battle ends).

5. Player actions.

6. If there are any ready units, go to #2.

7. If no units are ready, end the combat round. Ready all units, Retreat any units (if you want); and go to #2 to begin a new combat round.

So, if your last unit is killed in #2 or #4, you have the opportunity (in #3 or #5) to Ambush in something else. Ambushing in the new unit at this point would mean that there is at least one ready unit when you get to #6, so combat, and the current combat round, would continue.