Why can't I catch this exception from a constructor?

In this test code, why does the test fail with an ArgumentNullException, despite that it is handled?

        [Test]
        public void ExceptionBehaviorTest()
        {
            // This works. An instance is returned
            var testInstance = (TestClass)Activator.CreateInstance(typeof(TestClass), "Hello World");
            Assert.NotNull(testInstance);

            // This passes. Exception is generated and caught
            Assert.Throws<ArgumentNullException>(() => new TestClass(null));

            try
            {
                // This throws ArgumentNullException but the catch handler is not invoked. This fails the test
                testInstance = (TestClass)Activator.CreateInstance(typeof(TestClass), (string)null);
                Assert.Fail("Should not get here");
            }
            catch (ArgumentNullException)
            {
            }
        }

        private sealed class TestClass
        {
            public TestClass(string arg)
            {
                Argument = arg ?? throw new ArgumentNullException(nameof(arg));
            }

            public string Argument
            {
                get;
            }
        }

If I run the code in the debugger, it stops in the TestClass ctor, saying that the exception is not handled. But the calling function is visible in the stack, so the problem is not related to some part being executed on a different thread.

[Background: In my real-world code, I'm iterating over a bunch of classes and testing whether they have a ctor with a specific argument. This is to prevent runtime errors later, as the classes are constructed using dependency injection.]