Basing on MySQL version 8.0.18, fixed like this:

--- a/storage/innobase/row/row0pread.cc
+++ b/storage/innobase/row/row0pread.cc
@@ -502,6 +502,12 @@ dberr_t Parallel_reader::Ctx::traverse() {
     auto cur = pcur->get_page_cur();

     if (page_cur_is_after_last(cur)) {
+      // if interrupted, finish the job as early as possible
+      if (unlikely(trx_is_interrupted(m_scan_ctx->m_trx))) {
+        err = DB_INTERRUPTED;
+        break;
+      }
+
       mem_heap_empty(heap);