When you press CTRL+C in the finally block the program won't raise another KeyboardInterrupt exception. Instead it will let the finally block get executed first and then once the finally block finishes and if the program is still running the KeyboardInterrupt exception can be raised again.

Also python doesn't allow another exception to be raised when another one is being handled. When an exception occurs, python won't interrupt the handling of that exception with another one until the current exception is fully processed.