sqlite_connect.py

import sqlite3


# Create a function to connect to a database with SQLite
def sqlite_connect(db_name):
    """Connect to a database if exists. Create an instance if otherwise.

    Args:
        db_name: The name of the database to connect
    Returns:
        an sqlite3.connection object
    """
    try:
        # Create a connection
        conn = sqlite3.connect(db_name)
    except sqlite3.Error:
        print(f"Error connecting to the database '{db_name}'")
    finally:
        return conn

The conn object isn't defined if there is an error.
You should either remove the finally statement or put the return statement in the try block.