Pattern to avoid nested try catch blocks?

As far as possible, don’t use exceptions for control flow or unexceptional circumstances.

But to answer your question directly (assuming all the exception-types are the same):

Func<double>[] calcs = { calc1, calc2, calc3 };

foreach(var calc in calcs)
{
   try { return calc(); }
   catch (CalcException){  }
} 

throw new NoCalcsWorkedException();