As suggested by @Ivan Petrov, I search another location to throw the exception in the aim to handle it properly.

And I found it. Due to multi-tenant, I have a default schema definition for EF design time. So I can detect if we want to generate tables with default schema or not. And I can throw the exception at its location instead in Scope injection.

protected override void OnModelCreating(ModelBuilder builder)
{
    if(!EF.IsDesignTime && Schema == DefaultSchema)
        throw new ArgumentException("There is no data accessible");

    ...
}

I replace my code in Scope injection like this

//NOTICE: Scoped service for ClientDbContext resolution
builder.Services.AddScoped(sp =>
{
    var configuration = sp.GetRequiredService<IConfiguration>();
    var applicationDbContext = sp.GetRequiredService<ApplicationDbContext>();
    var tenant = sp.GetRequiredService<ITenant>();

    if (EF.IsDesignTime)
    {
        return new ClientDbContext(new DbContextOptions<ClientDbContext>(), configuration);
    }

    var client = applicationDbContext.Clients.FirstOrDefault(x => x.TenantId == tenant.TenantId);
    return new ClientDbContext(configuration, client?.Schema ?? ClientDbContext.DefaultSchema);
});

With this code, I can handle it in controller and use the default exception handler.

Thanks for help