Throwing exceptions from a constructor is not only a perfectly legitimate pattern to use. It is also necessary to correctly implement Resource Acquisition Is Initialization (RAII) for some classes (this appears to be the case in your code). And trust me, you really do want RAII :)
However, please be aware of the caveat that the destructor of the object will not be executed if the constructor throws. But the individual members of the class will be destructed.
On a related note, it is also okay for the constructor to perform work if the work is necessary for RAII. Again under the caveat that you adhere to Single Responsibility Principle (SRP) and Dependency Injection (DI). See this question: https://stackoverflow.com/questions/7048515/is-doing-a-lot-in-constructors-bad
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