Try-catch in an iterator

Is it possible to do a try-catch, or alternatively a try-finally over a

yield return

yield return

yield return

yield return statement?
When I try something like this:

IEnumerator Method1(IDisposable disp) {
    try {
        yield return Method2();
    }
    finally {
        disp.Dispose();
    }
}

IEnumerator Method1(IDisposable disp) {
    try {
        yield return Method2();
    }
    finally {
        disp.Dispose();
    }
}

IEnumerator Method1(IDisposable disp) {
    try {
        yield return Method2();
    }
    finally {
        disp.Dispose();
    }
}

IEnumerator Method1(IDisposable disp) {
    try {
        yield return Method2();
    }
    finally {
        disp.Dispose();
    }
}

then the Dispose method is never called.