except
    on EOne do
        OnMyExps();
    on ETwo do
        OnMyExps();
    on EThree do
        OnMyExps();
    end;
// <- вот здесь (EOutOfMemory, EAccesViolation, EEtc...
end

{$APPTYPE CONSOLE}
program Test;

uses
  System.SysUtils;
  
{$R+}

var
  Data: array[0..0] of Integer;
  i: Integer;
begin
  try
    i := 10;
    Data[i] := 5;
  except
    on E: EConvertError do
      Writeln('EConvertError')
  end;
  Writeln('End test');
end.

только

try
  ...
except
  ...
else
  raise;
end;

if MyVar = True then

function StringCaseSelect(AExcept: TObject; const ACaseList: array of TClass): Integer;
var
  I: Integer;
begin
  for I := 0 to High(ACaseList) do
    if AExcept is ACaseList[I] then
    begin
      Result := I;
      Exit
    end;
  Result := -1;
end;

begin
  try
    raise EConvertError.Create('')
  except
    case StringCaseSelect(ExceptObject, [EDivByZero, EAccessViolation, EConvertError]) of
      0, 1, 2:
        Writeln('Caught');
      -1:
        Writeln('Uncaught')
    end;
  end
end.