Interrupt code breaks sometimes

## 🐛 Bug

When running certain code it becomes impossible to interrupt the kernel until that code completes.

### To Reproduce

```
import sklearn
# get large dataset on the order of 1e6 or 1e7
df = ...
sklearn.preprocessing.QuantileTransformer(subsample=1e7, n_quantiles=1e6).fit_transform(df)
```

### Expected behavior

It should interrupt!

### Additional context

That's just an example, I've seen it plenty of times over the last few weeks, usually for commands I'd expect to take a while but that I want to stop midway to tweak something. That just seemed like an easy to replicate example. Oddly enough, the QuantileTransformer will interrupt just fine when n_quantiles is an order of magnitude smaller.