diff --git a/python/pyarrow/interchange/column.py b/python/pyarrow/interchange/column.py
index f80c586ff95..2ecc690b80e 100644
--- a/python/pyarrow/interchange/column.py
+++ b/python/pyarrow/interchange/column.py
@@ -313,7 +313,13 @@ def _dtype_from_arrowdtype(
             kind = DtypeKind.CATEGORICAL
             arr = self._col
             indices_dtype = arr.indices.type
-            _, f_string = _PYARROW_KINDS.get(indices_dtype)
+            mapping = _PYARROW_KINDS.get(indices_dtype)
+            if mapping is None:
+                raise ValueError(
+                    f"Dictionary index data type {indices_dtype} "
+                    "not supported by interchange protocol"
+                )
+            _, f_string = mapping
             return kind, bit_width, f_string, Endianness.NATIVE
         else:
             kind, f_string = _PYARROW_KINDS.get(dtype, (None, None))
diff --git a/python/pyarrow/tests/test_feather.py b/python/pyarrow/tests/test_feather.py
index 054bf920b26..d2b59fddebb 100644
--- a/python/pyarrow/tests/test_feather.py
+++ b/python/pyarrow/tests/test_feather.py
@@ -72,11 +72,12 @@ def setup_module(module):
 
 
 def teardown_module(module):
-    for path in TEST_FILES:
-        try:
-            os.remove(path)
-        except os.error:
-            pass
+    if TEST_FILES is not None:
+        for path in TEST_FILES:
+            try:
+                os.remove(path)
+            except os.error:
+                pass
 
 
 @pytest.mark.pandas