If you write a handler for EOF like so:

from cmd import Cmd

class FooShell(Cmd):
	def do_EOF(self, args):
		# exit on EOF
		raise SystemExit()

shell = FooShell()
shell.cmdloop()

Then when running the shell, you can see "EOF" as an undocumented command in the help screen. You can see this when typing "?".

$ python fooshell.py
(Cmd) ?

Documented commands (type help <topic>):
========================================
help

Undocumented commands:
======================
EOF

I believe the correct behaviour should be (1) don't show it in the undocumented commands, since it's not really a command; and (2) maybe create a built-in command for this, since the literal string "EOF" is also caught by this handler.