I don't have MySQL readily available but I tested this same thing with the SQL Server SqlClient provider and the exception handling works for me. If I pass an invalid connection string it jumps to the catch if it is ok it just continues.
This is what I tried:
declare str as string
declare connectionString as string = "Data Source=local;Initial Catalog=Northwind;"
& "Integrated Security=true;"
try
perform using connection as type SqlConnection = new SqlConnection
set connection::ConnectionString = connectionString
invoke connection::Open
display "no exception"
end-perform
Catch myex as type SqlException
set str to "Source " & myex::Source
set str = str & "Number " & myex::StackTrace
set str = str & "Line Number " & myex::TargetSite
set str = str & "Data Exception " & myex::GetType::ToString
invoke type System.Diagnostics.Debug::WriteLine(str)
end-try
display "after try"
goback.