pyinstaller exe with console window does not execute finally block or atexit when closing

Question

I am trying to run code when my script is closed.

def main():
    atexit.register(disconnect)
    try:
        do_something()
        while True:
            os.system('cls')
            print("Something")
            time.sleep(15)
    finally:
        disconnect()

if __name__=='__main__':
    main()

When run from a console with python myscript.py and terminating the script with Strg+C the finally block and atexit function is run and the disconnect function does its job.

Now I want the same behavior in an .exe file. I use pyinstaller myscript.py --onefile.

Wenn closing the console window that opens during normal program operation, the finally block and the function registered with atexit are not executed.

I tried switching from the finally block to the atexit module. I expect I am missing something to do with how the exe is started and what closing the windows actually means in that context, but I could not find any more information.