[3.11] gh-105375: Improve error handling in sqlite3 collation callback (GH-105412) (#105441)

Check for error after each call to PyUnicode_FromStringAndSize().
(cherry picked from commit a24a780d937109a0982d807473ae410cc75b0e3b)

Co-authored-by: Erlend E. Aasland <erlend.aasland@protonmail.com>