We introduce a novel data-driven framework for the design of targeted gene panels for estimating exome-wide biomarkers in cancer immunotherapy. Our first goal is to develop a generative model for the profile of mutation across the exome, which allows for gene- and variant type-dependent mutation rates. Based on this model, we then propose a new procedure for estimating biomarkers such as Tumour Mutation Burden and Tumour Indel Burden. Our approach allows the practitioner to select a targeted gene panel of a prespecified size, and then construct an estimator that only depends on the selected genes. Alternatively, the practitioner may apply our method to make predictions based on an existing gene panel, or to augment a gene panel to a given size. We demonstrate the excellent performance of our proposal using an annotated mutation dataset from 1144 Non-Small Cell Lung Cancer patients.