The same situation with this bug:
<?php
spl_autoload_register(function ($class_name) {
    echo "Need to include `{$class_name}` \n";
});

try {
    try {
        throw new \RuntimeException('Error message');
    } finally {
        echo 'Start finally block' . PHP_EOL;
        $foo = new Foo();
        echo 'End finally block' . PHP_EOL;
    }
} catch (\Exception $e) {
    echo $e->getMessage() . PHP_EOL;
    echo $e . PHP_EOL;
}


Actual result:

Start finally block
Need to include `Foo` 
Error message
exception 'RuntimeException' with message 'Error message' in /in/Bn1d8:8
Stack trace:
#0 {main}

Expected result:

Start finally block
Need to include `Foo` 

Fatal error: Uncaught RuntimeException: Error message in /in/Bn1d8:8
Stack trace:
#0 {main}

Next Error: Class 'Foo' not found in /in/Bn1d8:11
Stack trace:
#0 {main}
  thrown in /in/Bn1d8 on line 11

Process exited with code 255.

Closing here, as both examples seem to be working fine now: https://3v4l.org/TAkta and https://3v4l.org/Bn1d8. On 5.6 you get the fatal error from class loading, on 7.0 chained exceptions.