The problem is probably that you haven't resumed from the first error. You can't throw an error from within an error handler. You should add in a resume statement, something like the following, so VBA no longer thinks you are inside the error handler:
For Each oSheet In ActiveWorkbook.Sheets
On Error GoTo NextSheet:
Set qry = oSheet.ListObjects(1).QueryTable
oCmbBox.AddItem oSheet.Name
NextSheet:
Resume NextSheet2
NextSheet2:
Next oSheet