Compiling locally results in an object with .pdata/.xdata. I would expect you could use gcc-style inline asm here too if you like.
Generally, if you use these directives in a regular, non-naked (clothed?) function, you should expect to get errors from the assembler about directives outside the prologue. The compiler will assume it is responsible for the prologue, and emit the unwind info directives.
If you were to use masm instead, yes, I would expect lld-link to still accept it.