I guess you are using an open-source OpenOCD version. Stepping through the code doesn't work for STM32H7xx CPUs using the official OpenOCD (but flashing works fine, as you have found out).

To make your debug setup work properly, you can create a debug configuration in STMCubeIDE and use that instead. That uses ST's OpenOCD version, which includes modifications to OpenOCD by ST for it to work correctly with their MCUs.

You can possibly copy ST's OpenOCD scripts into your project and make it work properly.

Note that STMCubeIDE's version is ahead of https://github.com/STMicroelectronics/OpenOCD, as ST haven't kept the public version up-to-date, so do not use that, it won't work.