Properly close connections for cli proxy-example on keyboard interrupt

The proxy example is unable to close connections on keyboard abort.

```bash
^C
Aborted!
Unclosed client session
client_session:
```

This will require understanding how to capture Typer/Click abort. Unfortunately, it's hard to search for issues on typer using google.
Click documentation: https://click.palletsprojects.com/en/7.x/exceptions/