Oddly, this works:

C:\Users\santa>C:\python32\python.exe
Python 3.2 (r32:88445, Feb 20 2011, 21:30:00) [MSC v.1500 64 bit (AMD64)] on win
32
Type "help", "copyright", "credits" or "license" for more information.
>>> class Foo(Exception):
...     def __new__(*args):
...             obj = object()
...             print('Returning {}'.format(repr(obj)))
...             return obj
...
>>> try:
...     raise Foo
... except Exception as e:
...     print('Got it: {}'.format(repr(e)))
...
Returning <object object at 0x00000000022D26D0>
Returning <object object at 0x000000000254B8E0>
Got it: <object object at 0x000000000254B8E0>
>>> ^Z


But this does not:

C:\Users\santa>C:\python32\python.exe
Python 3.2 (r32:88445, Feb 20 2011, 21:30:00) [MSC v.1500 64 bit (AMD64)] on win
32
Type "help", "copyright", "credits" or "license" for more information.
>>> class Foo(Exception):
...     def __new__(*args):
...             obj = object()
...             print('Returning', repr(obj))
...             return obj
...
>>> try:
...     raise Foo
... except Exception as e:
...     print('Got it:', repr(e))
...
Returning <object object at 0x00000000022F36D0>
Returning <object object at 0x00000000022F38B0>

crash!