TST: Use try/except block to properly catch and handle the exception
Now no more warnings

- [x] closes #32951
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`


perf impact? None, i reran the asv benchmark  /azp run <samp>
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</samp> Hmm not sure about this approach though; typically you do want to pass along the error to the caller rather than swallowing

ref https://cython.readthedocs.io/en/latest/src/userguide/language_basics.html#error-return-values does `except NULL` in the signature not solve the same thing? This fix should be more to your liking. It handles the exception exactly at the level where it is supposed to be handled.
Rerunning the asv benchmarks tells me that there are no significant changes. @jbrockmendel  @WillAyd does this address your concern [here](https://github.com/pandas-dev/pandas/pull/33235#issuecomment-608161329)?  If so, LGTM. Yea this looks good very nicely done. I think good to merge @jreback  thanks @roberthdevries very nice. don't need a whatsnew note here as this is pretty much internal.