CLN: avoid catching Exception in _choose_path
- [ ] closes #xxxx
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

If you are deep diving on this any chance you can add a docstring for func to help future readers? lgtm. @WillAyd ? Thanks @jbrockmendel 