I have a complete implementation that allows storing pending native exceptions using thread locals using compiler support or using CLR thread locals.
Everything builds and passes single threaded tests. But the multi threaded tests (the tests actually testing the pending storage) are falling in various ways. Under mono on OSX and Linux, there are crashes. On some of the windows platforms the tests seem to work... running for minutes without any failure. But on others (64bit vs2010? IIRC) it fails with protection exception relatively quickly.
I'm not able to work much on this for a while, but do intend to get back to it.