There is no way to get generators to clean up (run their 'finally'
clause) when used as an inner iterable to chain:

>>> def gen(n):
...     try:
...         # do stuff yielding values
...     finally:
...         # clean up
>>> c = chain.from_iterable(map(gen, (1,2,3)))
>>> next(c)
0
>>> # done with c, but can't clean up inner gen!

Could you add a 'close' method to itertools.chain that would call close
(if present) on both the inner and other iterable?  Then clean up could
be done as:

>>> with closing(chain.from_iterable(map(gen, (1,2,3)))) as c:
...    next(c)
>>> # generator finalized by "with closing"!