bpo-42340: Document issues around KeyboardInterrupt (GH-23255)

Update documentation to note that in some circumstances,
KeyboardInterrupt may cause code to enter an inconsistent state. Also
document sample workaround to avoid KeyboardInterrupt, if needed.
(cherry picked from commit d0906c90fcfbc4cfb9bb963eaa6bb152dd543b56)

Co-authored-by: benfogle <benfogle@gmail.com>