[CUDA][HIP] Catch and report bad_alloc errors for event object creation

[GeorgeWeb]

This PR is just to make sure there errors are reported accordingly if new fails to allocate the requested space when creating UR event object from a native event.

inte/llvm CI: https://github.com/intel/llvm/pull/12895

[codecov-commenter]

Codecov Report

All modified and coverable lines are covered by tests :white_check_mark:

Project coverage is 12.51%. Comparing base (78ef1ca) to head (4c3f9ab). Report is 96 commits behind head on main.

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Additional details and impacted files

@@            Coverage Diff             @@
##             main    #1397      +/-   ##
==========================================
- Coverage   14.82%   12.51%   -2.32%     
==========================================
  Files         250      239      -11     
  Lines       36220    35949     -271     
  Branches     4094     4076      -18     
==========================================
- Hits         5369     4498     -871     
- Misses      30800    31447     +647     
+ Partials       51        4      -47     

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