[3.12] gh-109746: Make _thread.start_new_thread delete state of new thread on its startup failure (GH-109761) (GH-127173)

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.

(cherry picked from commit ca3ea9ad05c3d876a58463595e5b4228fda06936)

Co-authored-by: Radislav Chugunov <52372310+chgnrdv@users.noreply.github.com>