The SIGINT event gets created when the _signal extension module is imported. Until then, _PyOS_SigintEvent() returns NULL. But currently all code that calls _PyOS_SigintEvent() assumes it returns a valid handle. This has to be fixed to support Py_InitializeEx(0). 

For example, pysleep could call WinAPI Sleep on the main thread if the interrupt event isn't configured:

        ul_millis = (unsigned long)millisecs;
        hInterruptEvent = _PyOS_SigintEvent();

        if (ul_millis == 0 || !hInterruptEvent || !_PyOS_IsMainThread()) {
            Py_BEGIN_ALLOW_THREADS
            Sleep(ul_millis);
            Py_END_ALLOW_THREADS
            break;
        }