You can log the error to the SQL Server system log by specifying "WITH LOG" on your call to RAISERROR. These log entries survive the transaction rollback:

BEGIN TRAN

BEGIN TRY

RAISERROR('Sample Error for Testing', 16, 1) WITH LOG

COMMIT TRAN

END TRY

BEGIN CATCH

PRINT 'Error message was logged to the SQL Server log even though the transaction has been rolled back.'

ROLLBACK TRAN

END CATCH

(See the log in SSMS under Management / SQL Server Logs / Current)

This doesn't help you log to a normal table...but it may be cleaner than writing to a flat file from xp_cmdshell.