The jitter generates a lot more than just the machine code that you can easily see with the debugger. You'll want to read this answer, it talks about the tables that the jitter generates to assist the garbage collector.
That works in a very similar way for exception handling, the jitter generates function tables used by the SafeSEH implementation to let the operating system discover the exception filter. Such a table has entries for the start and end address of the try-block and a function pointer for the filter. The exact way it works is heavily under-documented, exception handling has been exploited heavily by malware in the past and google hits for "safeseh" are not anything I want to repeat here. There's some cursory info about it in the MSDN article for the assembler's option. I'm not aware of a simple way to inspect these tables with the debugger.