Nested catch and throw do not seem to work properly

Hmm, I don't think you're doing anything wrong. That looks like a bug to me... For instance this will work:

function outer() {
 try {
   console.log('In outer');
   inner();
   console.log('Out outer');
 } catch(x) {
   console.log('Catch outer');
 }
}
function inner() {
 var caught;
 try {
   console.log('In inner');
   throw "coucou";
   console.log('Out inner');
 } catch(x) {
   console.log('Catch inner'+x);
   caught = x;
 }
 if (caught) throw caught;
}

outer();

I'll make sure I put that in the bug tracker.

To be honest I don't think people generally use exceptions much with Espruino, so it probably hasn't come up before.