dvc pull cannot be stopped by Ctrl+C (at least on Windows)

[a18]

Bug Report

pull: cannot be stopped by Ctrl+C

Description

When DVC downloads huge files from S3, an attempt to cancel the process using Ctrl+C is just ignored.

Reproduce

1. Prepare and push several huge DVC files to S3, commit repo changes
2. Get clean repo copy
3. dvc pull
4. Try to press Ctrl+C
   -->

Expected

The downloading process should stop neary immediately (probably, within 1-2 seconds).

Environment information

Output of dvc doctor:

$ dvc doctor
DVC version: 3.58.0 (pip)
-------------------------
Platform: Python 3.9.18 on Windows-10-10.0.19041-SP0
Subprojects:
        dvc_data = 3.16.5
        dvc_objects = 5.1.0
        dvc_render = 1.0.2
        dvc_task = 0.4.0
        scmrepo = 3.3.9
Supports:
        http (aiohttp = 3.10.5, aiohttp-retry = 2.8.3),
        https (aiohttp = 3.10.5, aiohttp-retry = 2.8.3),
        s3 (s3fs = 2024.5.0, boto3 = 1.35.16)
Config:
        Global: C:\Users\User11\AppData\Local\iterative\dvc
        System: C:\ProgramData\iterative\dvc
Cache types: hardlink
Cache directory: NTFS on D:\
Caches: local
Remotes: s3
Workspace directory: NTFS on D:\
Repo: dvc, git
Repo.site_cache_dir: C:\ProgramData\iterative\dvc\Cache\repo\7d446d749c90842fa5ee817a678499c6

Additional Information (if any):
Similar old issue, but for "run" command and on Linux: #2272