Okay, that code is strange, I agree, and I totally understand why it got written that way. But it was written that way because the premise underlying the code is wrong. The fact that the construct seems strange should be a "code smell", and should tell you that something might not be getting done the best way possible.
First, here's why the unusual construct in the try...except block. The function creates a TStringList, but if something goes wrong in the course of filling it, then the TStringList that was created will be "lost" out on the heap and will be a memory leak. So the original programmer was defensive and made sure that if an exception occurred, the TStringList would be freed and then the exception would get raised again.
Now here is the "bad premise" part. The function is returning an instance of TStrings. This isn't always the best way to go about this. Returning an instance of an object like that begs the question "Who is going to dispose of this thing I've created?". It creates a situation where it might be easy -- on the calling side -- to forget that a TStrings instance has been allocated.
A "Better Practice" here is to have the function take a TStrings as a parameter, and then fill in the existing instance. This way, there is no doubt about who owns the instance (the caller) and thus who should manage its lifetime.
So, the function becomes a procedure and might look like this:
procedure CreateBibleNames(aStrings: TStrings);
begin
if aStrings <> nil then
begin
aStrings .Add('Adam');
aStrings .Add('Eva');
aStrings .Add('Kain');
aStrings .Add('Abel');
end;
end;
Now this is not to say that returning an object instance is a bad thing every time -- that is the sole function of the very useful Factory pattern, for example. But for more "general" functions like this, the above is a "better" way of doing things.