Currently, it's just stored as global state in signalmodule.c and forgotten about. It probably needs to become module state, and the signal module needs better initialization/shutdown.

PyOS_FiniInterrupts() is a good place to close _PyOS_SigintEvent. Hopefully, it's a internal C API and it's not exported, since it's fine to change its behavior. Maybe it should be renamed to _PyOS_FiniInterrupts().

@vstinner
https://github.com/python/cpython/blob/ae0a2b756255629140efcbe57fc2e714f0267aa3/Modules/signalmodule.c#L1743

Since _PySignal_Fini close the handle, IMHO we can close this issue.
Is there any corner case to handle this?

Fixed by bpo-41686:

commit 0ae323b87f1bed64a7fa70f5a41a5800aca032cc
Author: Victor Stinner <vstinner@python.org>
Date:   Tue Nov 17 18:15:20 2020 +0100

    bpo-41686: Always create the SIGINT event on Windows (GH-23344)
    
    bpo-41686, bpo-41713: On Windows, the SIGINT event,
    _PyOS_SigintEvent(), is now created even if Python is configured to
    not install signal handlers (PyConfig.install_signal_handlers=0 or
    Py_InitializeEx(0)).
    
    Changes:
    
    * Move global variables initialization from signal_exec() to
      _PySignal_Init() to clarify that they are global variables cleared
      by _PySignal_Fini().
    * _PySignal_Fini() now closes sigint_event.
    * IntHandler is no longer a global variable.