I misremembered the whole thing. It was still related to cleaning up after a failure, but there was only one resource I had to deal with. That's how it looks like:

    sqlite3 *db;
    int r;

    r = sqlite3_open("./data.db", &db);
    if (r) {
        std::cerr << "Can't open the database: " << sqlite3_errmsg(db) << std::endl;
        return r;
    }

    r = sqlite3_exec(db, "CREATE TABLE IF NOT EXISTS foo(...);", nullptr, nullptr, nullptr);
    if (r != SQLITE_OK) {
        std::cerr << "Can't create a table called foo: " << sqlite3_errmsg(db) << std::endl;
        goto out;
    }

    // a few more sqlite3_exec calls;
    // some sqlite3_prepare_v2 calls combined with sqlite3_bind_* and sqlite3_step calls
    // for repeated queries.

out:
    sqlite3_close(db);
    return r;

Yeah, it's not called goto, but it's functionally the same.