Potential code for answering the question (errors bubble up)

coco_final.py

# How can I make sure that the exception messages
# of Exceptions that occur in the sub-function `load_model()`
# show up in the stack trace of the `main()` function?

class UnsupportedInputError(Exception): pass
class SourceEqualsTargetError(Exception): pass

supported_inputs = ["a", "b", ...]


def load_model(source, target):
    if source not in supported_inputs or target not in supported_inputs:
        raise UnsupportedInputError("not supported pair")
    elif source == target:
        raise SourceEqualsTargetError("source and target shouldn't be same")
    else:  # Load the model
        print("Loading model...")
        model = "loaded model"  # Replace with code logic
    return model


def main(user_input):
    model = load_model(user_input["source"], user_input["target"])
    # try:
    #     model = load_model(user_input["source"], user_input["target"])
    # except (UnsupportedInputError, SourceEqualsTargetError) as e:
    #     print(e)
    #     # return sys.exit(0)  # Do you want to quit when theres an error?
    # else:  # Do something with the model
    #     print(model)


print("Run #1")
valid_input = {"source": "a", "target": "b"}
main(valid_input)  # Should raise no error

print("Run #2")
invalid_input_1 = {"source": "a", "target": "a"}
main(invalid_input_1)  # Should raise SourceEqualsTargetError

print("Run #3")
invalid_input_2 = {"source": "a", "target": "unsupported"}
main(invalid_input_2)  # Should raise UnsupportedInputError

With an intermediate state to answer the question that looked like this:

# How can I make sure that the exception messages
# of Exceptions that occur in the sub-function `load_model()`
# show up in the stack trace of the main function `main()`?

def load_model(source, target):
    if source == target:
        raise AssertionError("source and target shouldn't be same")

def main(X):
    load_model(X['s'], X['t'])
    print("Done")

X = {"s": 0, "t": 0}
main(X)

# Remove the `try...except` block in `load_model()`