gh-109746: Make _thread.start_new_thread delete state of new thread on its startup failure (GH-109761)

If Python fails to start newly created thread
due to failure of underlying PyThread_start_new_thread() call,
its state should be removed from interpreter' thread states list
to avoid its double cleanup.

Co-authored-by: Serhiy Storchaka <storchaka@gmail.com>