The highlighted line is the next line to run after the error.

Therefore: 
On Error GoTo ShowMsg '<-- Insert
For z = 1 To coll1.Count 
   opWB.Sheets(coll1(z)).Activate
   If coll2(z) = "y" Then
      opWB.Sheets(coll1(z)).Range("A1:" & LastColumn(coll1(z), "1") & LastRow(coll1(z), "A")) = opWB.Sheets(coll1(z)).Range("A1:" & LastColumn(coll1(z), "1") & LastRow(coll1(z), "A")).Value
   End If
ShowMsg: '<-- Add
      If Err <> 0 then 
         MsgBox "Error Number:=" & Err
         MsgBox "coll1.Count:=" & coll1.Count
         MsgBox "y:=" & y
         MsgBox "z:=" & z
         MsgBox "coll2(z):= & coll2(z)
         Exit sub
      End If '<-- End Add