You can throw exception in try catch block:
DECLARE @msg nvarchar(50) = 'Here is a problem!'
BEGIN TRY
    print 'First statement';
    THROW 51000, @msg, 15;
    print 'Second statement';
END TRY
BEGIN CATCH
    print 'Error: ' + ERROR_MESSAGE();
    THROW;
END CATCH
Exception with be handled in CATCH block and then re-thrown using THROW without parameters.
First statement
Error: Here is a problem!
Msg 51000, Level 16, State 15, Line 39
Here is a problem!
THROW is similar to RAISERROR with following differences: