Going to take a stab in the dark - the the issue lies here:

"./Python/errors.c"
#ifndef Py_NORMALIZE_RECURSION_LIMIT
#define Py_NORMALIZE_RECURSION_LIMIT 32
#endif

As there is not enough memory for this to run in the default memory model.

However, 32 does not seem to be a counter limit:

With this "hack" I get success:

        script = """if True:
            import threading

            def recurse(loop=0):
                loop = loop+1
                if loop < 128+32+8+3:
                    return recurse(loop)
                else:
                    return

            def outer():
                try:
                    recurse()
                except RecursionError:
                    pass

            w = threading.Thread(target=outer)
            w.start()
            w.join()
            print('end of main thread')
            """

So, I hope this helps point at where we need to look to find why RecursionError is not being returned when (I assume) memory runs out.