newDBObject(), called by DB_construct(), doesn't check correctly the 
result of all to the external function db_create(). It checks if 
self->db is NULL, but db_create() doesn't change self->db value on 
error. So if self->db is uninitialized, the error is not catched.

Two ideas to fix the bug:
 - check "if (err)" instead of "if (self->db != NULL)"
 - set self->db=NULL before calling db_create()

I implemented the second proposition in the attached patch.

Note: The bug occurs with PYDEBUG, I don't know if PyObject_New() 
fills new allocate memory to zero (I think no, but I'm not sure).