This is a boiled-down version of http://stackoverflow.com/questions/1977605/connection-pool-returns-same-exception-instance-to-two-threads-using-the-same-bad.
Two theads, at almost the same time, open a connection using the identical connection string. This string is bad, in the example, it's opening "AdventureWorksX" database, which does not exist.
In this case, it appears that the identical instance of Exception class is being thrown to both threads, resulting in confusion to the reader.
Sometimes, the StackTrace property of the exception is corrupted, showing stack trace entries from both threads.
Commenting out either of the Thread.Start calls produces a totally different stack trace, in a way that suggests that the connection pool was not involved.