Wrap it in another try-catch block.
try {
try {
$mysqli = new PDO('mysql:host='.THOST.';dbname='.TDB.'', TUSER, TPASS);
} catch(PDOException $e) {
$a = $e->getMessage();
throw new customException ( "Failed to connect to MySQL:". $a );
}
} catch(customException $e) {
echo $e->errorMessage();
// Do what you want
}