Ctrl-C in script: atexit is ignored

I cannot seem to be able to use atexit properly, in the context of catching Ctrl-C when running a script in Julia 1.7.2:

function main()
    atexit(() -> println("caught"))
    println("started program")
    sleep(5)
    println("done")
end

if abspath(PROGRAM_FILE) == @__FILE__
    main()
end

Under Windows Terminal the output is

C:\Users\michele.zaffalon> julia script.jl
started program
# Ctrl-C pressed
C:\Users\michele.zaffalon>

and under git bash

$ julia script.jl
started program
# Ctrl-C pressed
Segmentation fault