I had the exact same problem – I had written a program with a SIGINT/SIGTERM handler. That handler did clean-up work which sometimes took awhile. When I ran the program from within msys bash, ctrl-c would cause my SIGINT handler to fire, but it would not finish – the program was terminated (“from the outside”, as it were) before it could complete its clean-up work.
Building on phs’s answer, and this answer to a similar question: https://stackoverflow.com/a/23678996/2494650, I came up with the following solution. It’s insanely simple, and it might have some side-effects that I’ve yet to discover, but it fixed the problem for me.
Create a ~/.bashrc file with the following line:
trap '' SIGINT
That’s it. This traps the sigint signal and prevents msys bash from terminating your program “from the outside”. However, it somehow still lets the SIGINT signal through to your program, allowing it to do its graceful cleanup/shutdown. I can’t tell you exactly why it works this way, but it does – at least for me.
Good luck!