I'm experiencing that the following short program:

import threading
event = threading.Event()
event.wait()

Cannot be interrupted with Ctrl-C on Python 2.7.15 or 3.7.1 on Windows 10 (using the Anaconda Python distribution).

However, if the wait is given a timeout:

import threading
event = threading.Event()
while True:
    if event.wait(10000):
        break

then this is interruptable on Python 2.7.15, but is still uninterruptible on Python 3.7.1.