KeyboardInterrupt not producing a failed request

[davidbrochart]

One test in nbclient fails randomly while executing a cell with:

while True:
    pass

And interrupting the execution.
Instead of having the following output:

 [{
  'ename': 'KeyboardInterrupt',
  'evalue': '',
  'output_type': 'error',
  'traceback': ['---------------------------------------------------------------------------',\n                'KeyboardInterrupt                         Traceback (most '\n                'recent call last)',\n                '<IPY-INPUT> in <module>\n----> 1 while True: continue\n',\n                'KeyboardInterrupt: ']
  }]

We sometimes get:

[{
  'name': 'stderr', 
  'output_type': 'stream',
  'text': '\nKeyboardInterrupt\n\n'
}]

Which means the interrupt is not treated as an error in the sense of a failed request. Instead, the KeyboardInterrupt is just streamed on stderr.
I'm not sure it comes from ipykernel, and I cannot reproduce locally. Any idea what could be the cause of this behavior?