after I use CLRHost to launch a C# App, the API SetUnhandledExceptionFilter cannot work

I had make a c++ launcher to host clr because of the problem of "CoInitializeSecurity", I use ICLRRuntimeHost.ExecuteInDefaultAppDomain to start a managed method which calls App.Main to run the C# app.
But there rise a new problem, before I use ICLRRuntimeHost to host C# app, SetUnhandledExceptionFilter will hook SEH exceptions, in which I would like to do some thing like writing a MiniDump, now the callback set by SetUnhandledExceptionFilter can't be call any more, instead c# will catch System.Runtime.InteropServices.SEHException by set Application.Current.DispatcherUnhandledException(WPF).

The app interoperates to a native dll via p/invoke, so it's the best if can it record a MiniDump when crash happened in native dll. Can anyone help me? Thanks.