> ctypes performs the initializations in a way that break the
> threading.local functionality. 

Not quite. ctypes (or more exactly: the PyGILState_Ensure() and PyGILState_Release() functions, which are the standard API to do this) is in a situation where it must call Python code from a thread which has no PyThreadState.  So it creates a thread state, runs the code, and destroys the thread state; is this wrong?

If you want to keep Python state during your C thread, there are 4 lines to add to your function:

void *async_cb(void *dummy)
{
    PyGILState_STATE gstate = PyGILState_Ensure();
    Py_BEGIN_ALLOW_THREADS
    (*callback_fn)();
    (*callback_fn)();
    Py_END_ALLOW_THREADS
    PyGILState_Release(gstate);
    pthread_exit(NULL);
}