Handle cases where errors cannot be retrieved using CPLGetLastErrorNo()

[jrgriffiniii]

This is normally used to find error codes when SQL executions fail (please see https://gdal.org/python/osgeo.ogr-pysrc.html#DataSource.ExecuteSQL)

[jrgriffiniii]

This should return an error code until some memory issues are encountered in https://github.com/OSGeo/gdal/blob/master/gdal/port/cpl_error.cpp#L152 when invoking https://github.com/OSGeo/gdal/blob/master/gdal/port/cpl_error.cpp#L821. I'm not certain that https://github.com/OSGeo/gdal/blob/master/gdal/port/cpl_multiproc.cpp#L2320 is doing more than just checking for memory allocation errors from https://github.com/OSGeo/gdal/blob/master/gdal/port/cpl_error.cpp#L149