[gdb] Don't create registry keys in destructor

[gdb] Don't create registry keys in destructor

Creating a registry key using emplace calls new:
...
      DATA *result = new DATA (std::forward<Args> (args)...);
...
which can throw a bad alloc, which will terminate gdb if called from a
destructor.

Fix this in a few places.

Tested on aarch64-linux.

Approved-By: Tom Tromey <tom@tromey.com>