Determine if executing in finally block due to exception being thrown

The means of accomplishing this that I’ve seen require an extra method:

public static void MyMethod()
{
    using (var scope = MyScopedBehavior.Begin())
    {
        //Do stuff with scope here
        scope.Complete(); // Tells the scope that it's good
    }
}

By doing this, your scope object can track whether it’s disposing because of an error, or a successful operation. This is the approach taken by TransactionScope, for example (see TransactionScope.Complete).