You can't find any situation? What about when that ...
code contains a return
statement? In a loop, continue
and break
can also fit the bill.
Your particular code apparently doesn't contain any control-flow statements, but that's beside the point. The point is that when you use the common resource-acquisition idioms, such as try-finally and using, you no longer need to worry about what the rest of the code is. The ...
can be one line or a hundred lines; whatever resource you acquired at the top will get released at the bottom if you've done it right. Rather than spend time trying to think of other ways that might be right (and having to prove it), use the ways you know are right because they were designed to be right.
Besides, even if you can prove that the code never leaks a connection, it's still a lousy idea for conn.Close()
to be the command that has to solve every possible exception your program could ever throw. Don't catch exceptions that you don't know how to resolve.