OpenBSD's threads are userland threads, and sigaltstack() doesn't work when the program is built with -pthread:
http://marc.info/?l=openbsd-bugs&m=114323355014696&w=2

Note that POSIX warns about this:
http://www.opengroup.org/onlinepubs/000095399/functions/sigaltstack.html
""""
Use of this function by library threads that are not bound to
kernel-scheduled entities results in undefined behavior.
"""

I think we should skip this test on OpenBSD when Python is compiled with threads support.
Out of curiosity, could you try this:
$ ./python -c "import faulthandler; faulthandler.enable(); faulthandler._stack_overflow()"; echo $?

And if you're motivated, you could try it again after having built python with './configure --without-threads'.