I'm not sure it's quite as simple as calling sys.exit, but it would be a great project to bring universal cancellation support to all (regularly) blocking functions. Asyncio has suffered from this as well.

Part of the problem is that POSIX APIs often don't support cancellation, and so things have been designed in ways that prevent use of Windows's cancellation support (via APCs or kernel events). Given that we would have to emulate a lot of things on all platforms to make it consistent, this is certainly a PEP and long-term project. (And probably a lot of arguments with people who don't like new abstractions :( )

But on this particular issue, making the unconditional wait be interruptable by signals shouldn't be impossible. It's been done elsewhere, so probably just this one got missed.