According to their documentation, Mockito doesn't support mocking a final class. You'll need to choose another mocking framework.
A quick google search says Powermock will do it, but I've not used it so I don't know if it works well/as expected.
Also remember that if you're testing a method as a whole, you might mock out something else inside your try logic that you can make throw the same exception. This will exercise the same catch logic if that's where you're trying to go.
When you do things right, people won't be sure you've done anything at all.