Here is an example that I just tried and it works
DECLARE @x XML(CustomerSchema), @y XML
SELECT @y = 'a'
BEGIN TRY
SELECT @x = @y
END TRY
BEGIN CATCH
RAISERROR('Hey, this is an invalid XML',16,1)
END CATCH
/*
OUTPUT:
Msg 50000, Level 16, State 1, Line 7
Hey, this is an invalid XML
*/
.