Functions such as imagecreatefromjpeg() don't throw Exceptions, they work with the standard error handling mechanism. Now, it is possible using set_error_handler() to throw exceptions when some errors occur, but fatal errors are not available using this method. In PHP fatal is just that. No more processing will happen.
Exceptions in PHP are really meant for userland code. For example
function myFunction()
{
throw new Exception( 'uh-oh' );
}
try
{
myFunction();
}
catch( Exception $e )
{
echo $e->getMessage();
}
A more thorough explanation is in the PHP manual.