How does .NET framework allocate memory for OutOfMemoryException?

It is preallocated by the runtime. If you explore the heap of any managed process you’ll find an instance of that exception.

Here are the preallocated exceptions of a Hello World app:

0:003> !dumpheap -stat -type Exception
Statistics:
      MT    Count    TotalSize Class Name
735f2920        1           84 System.ExecutionEngineException
735f28dc        1           84 System.StackOverflowException
735f2898        1           84 System.OutOfMemoryException
735f2744        1           84 System.Exception
735f2964        2          168 System.Threading.ThreadAbortException