If you want to be return absolutely any value from an iterator, an exception is indeed a reasonable choice though. Python generators came in much later, unlike JS for example.
If that is indeed a requirement, you let your iterator have an .at_end() test instead of trying to shoehorn it into the return value. Or have something like C++'s std::optional or Rust's Option. Or a special EndOfIteration object that you cannot return from an iterator (is that really so bad?). Iteration is extremely common, and should thus be based on as simple primitives as possible if you want things to go fast.
I believe the original PEP [1] answers almost all questions. The only option not covered would be probably an "optional" type, but it is even easier to answer: any such type has to be heap-allocated in the Python memory model, so a mere iteration could've caused a lot of redundant memory allocations.
