Can I have a list of Exception that mysql.connector can generate?

MySQL Connector/Python follows PEP249 when defining and raising exceptions:
 http://www.python.org/dev/peps/pep-0249/
When you would get some other exception like TypeError, that would be a bug.

If you want to get just a list, here is how you get it within python:

import inspect
from pprint import pprint
from mysql.connector import errors
r = []
for n in inspect.getmembers(errors, inspect.isclass):
  if issubclass(n[1],StandardError):
    r.append(n[0])
pprint(sorted(r))

Result is/should be:
['DataError',
 'DatabaseError',
 'Error',
 'IntegrityError',
 'InterfaceError',
 'InternalError',
 'NotSupportedError',
 'OperationalError',
 'ProgrammingError',
 'Warning']

If you want to catch any Error from MySQL Connector/Python, then you would do it like this (Python v2):

try:
  cursor.execute(...)
except mysql.connector.errors.Error, e:
  print e

There is indeed no documentation yet, but we're working on that.