Repeat an iteration in loop if error occurs

No, there is no command to "rewind" a for-loop in Python.

You could use a while True: loop inside the for-loop:

for i in range(500):
    while True:
        try:
            conn = getConnection(url+str(i))
            doSomething(conn)
        except Exception: # Replace Exception with something more specific.
            continue
        else:
            break

or without the else::

for i in range(500):
    while True:
        try:
            conn = getConnection(url+str(i))
            doSomething(conn)
            break
        except Exception: # Replace Exception with something more specific.
            continue

But I personally think that your proposed solution is better because it avoids an indentation level.

for i in range(500):
    while True
        try:
            conn = getConnection(url+str(i))
            break
        except Exception: # still allows to quit with KeyboardInterrupt
            continue
    do_your_stuff()

This looks bit risky, however, you should at least enable some logging inside a while block.

If you expect to use it in more places, you might write a simple decorator:

def keep_trying(fn, *args, **kwargs):
    def inner(*args, **kwargs):
        while True:
            try:
                return fn(*args, **kwargs)
            except Exception:
                continue
    return inner

# later you can use it simple like this:
for i in range(500):
    conn = keep_trying(getConnection)(url+str(i))