It seems that TestCase.run() implementation uses the testPartExecutor context manager. It does so to wrap exceptions (and skips) raised in either setUp, the test method or tearDown calls:

With this in mind, and considering the docs would it make more sense to wrap in try/except like this:

def debug(self):
    """Run the test without collecting errors in a TestResult"""
    try:
        self.setUp()
        getattr(self, self._testMethodName)()
        self.tearDown()
    except SkipError:
        pass
    while self._cleanups:
        function, args, kwargs = self._cleanups.pop(-1)
        function(*args, **kwargs)

Note: users and developers of pytest have been struggling with understanding the TestCase.debug() interface and use case for a while (with regards to launching postmortem, teardown and skipping). Here's one of the relevant ones: pytest-dev/pytest-django#772