Python 2.7:
4.23.4 2.7.6 (default, Nov 23 2017, 15:49:48)
[GCC 4.8.4] linux2

Python 3.6:
4.23.4 3.6.3 (default, Dec 4 2017, 11:26:35)
[GCC 4.8.4] linux

In Python 2.7 everything works as expected: interpreter exits when KeyboardInterrupt is received.
In Python 3.6 the monitor thread does not exit if KeyboardInterrupt is received before TMonitor.sleep_interval has passed once.

In both cases TMonitor.was_killed is never set, but in Python 3.6 the monitor requires a second KeyboardInterrupt to exit.

from __future__ import print_function, division, unicode_literals
import time
import random
import tqdm
p = tqdm.tqdm(range(1000))
try:
    for i in p:
        time.sleep(random.random() / 10)
finally:
    print('was_killed:', tqdm.tqdm.monitor.was_killed.is_set())
    # tqdm.tqdm.monitor.was_killed.set()

Uncomment the last line to "fix" the problem in 3.6.