Looking at changes to alpha2 I think it bisects to https://github.com/python/cpython/pull/6641


➜  cpython git:(5dcc06f6e0) git checkout fee552669f21ca294f57fe0df826945edc779090 && make -s -j4 > /dev/null 
Previous HEAD position was 5dcc06f6e0... bpo-38858: Allocate small integers on the heap (GH-17301)
HEAD is now at fee552669f... Produce cleaner bytecode for 'with' and 'async with' by generating separate code for normal and exceptional paths. (#6641)
➜  cpython git:(fee552669f) ./python ../backups/bpo39114.py                                                 
3.9.0a1+ (tags/v3.9.0a1-43-gfee552669f:fee552669f, Dec 21 2019, 20:18:54) 
[GCC 4.8.4]
call 12: def finally_return():
line 13:     try:
line 14:         return 14
line 16:         a.append(16)
line 14:         return 14
line 16:         a.append(16)
retu 16:         a.append(16)
➜  cpython git:(fee552669f) git checkout fee552669f21ca294f57fe0df826945edc779090~1 && make -s -j4 > /dev/null
Previous HEAD position was fee552669f... Produce cleaner bytecode for 'with' and 'async with' by generating separate code for normal and exceptional paths. (#6641)
HEAD is now at 5dcc06f6e0... bpo-38858: Allocate small integers on the heap (GH-17301)
➜  cpython git:(5dcc06f6e0) ./python ../backups/bpo39114.py                                                   
3.9.0a1+ (tags/v3.9.0a1-42-g5dcc06f6e0:5dcc06f6e0, Dec 21 2019, 20:21:07) 
[GCC 4.8.4]
call 12: def finally_return():
line 13:     try:
line 14:         return 14
line 16:         a.append(16)
line 14:         return 14
retu 14:         return 14