This is fine for now, but let me mention one thing.

As we are throwing this exception again and again I am for using of dedicated exception class for this.

We already have the skeleton but it needs some tweaking - https://github.com/korczis/gooddata-ruby/blob/master/lib/gooddata/exceptions/no_project_error.rb

Also see http://stackoverflow.com/questions/3382866/rubys-exception-error-classes