No, it won't work.
1) DbNotification is for other purposes (server crash, mirroring)
2) You can't throw an exception in a native event (can't modify the "throws" declaration)
You could have a function that takes a SQL request as a string argument and throws an exception if an error occurs.
So you can do this :
TRY
myTrans.of_Exec("INSERT code VALUES (1);UPDATE glob set vary = vary + 7")
CATCH (n_transaction_excetion lex)
MessageBox("Exception", lex.GetMessage())
END TRY