I can't find any documentation of the exception classes defined in the
sqlite3 module. There are quite a few, and some inheritance. The
examples in the sqlite3 module documentation have a few exception
clauses, but the errors they catch are not explained.

I would expect every module that defines exception classes to document
them, including inheritance. For a module like sqlite3 it is
particularly important because it is just an interface to C code.
Expecting someone to figure out exception classes from a module's Python
code is one thing, but asking them to go into the C code, which they
might not even have, is another.