SqlBulkCopy fails during process exit

[Cwappy]

I have a class that builds a DataTable and then, when the process is
exiting, tries to write that DataTable to SQL Server 2000 via the
SqlBulkCopy class. I know the process is exiting because I'm catching
the ProcessExit event (this is a console app).

The problem is that calling WriteToServer as seen below will
immediately exit the program WITHOUT generating any exceptions or any
other notices, including if I step through the code line-by-line while
debugging in VS. See my code below. If I call SaveTable() on my own,
before the process exits, then it executes just fine. Is there a
problem doing this during ProcessExit? I need to do the SqlBulkCopy
during process exit!

Help!

An abstraction of my code:

DataTable myDataTable;

static void Main(string[] args) {
//Catch process exit
AppDomain.CurrentDomain.ProcessExit += new EventHandler(OnExit);

//Build the datatable...

//Process exits and OnExit is called...
}

void OnExit(object sender, EventArgs e) {
SaveTable();
}

public void SaveTable() {
//Create our bulk copy object that will import our data into SQL.
SqlBulkCopy bulk = new SqlBulkCopy("connection string");
bulk.DestinationTableName = "tablename";

//Column mapping is done here...

try {
bulk.WriteToServer(myDataTable);
}
catch (Exception e) {
TargetException(e);
}
finally {
bulk.Close();
}
}