Выполнение кода при завершении программы python

Используйте try/finally. Даже если случилось исключение блок finally будет исполнен:

import time

try:
    while True:
        print('press Ctrl-C to stop')
        time.sleep(1)
finally:
    print('\n\nCleanup code is here\n')

$ python cleanup.py 
press Ctrl-C to stop
press Ctrl-C to stop
press Ctrl-C to stop
^C

Cleanup code is here

Traceback (most recent call last):
  File "cleanup.py", line 7, in <module>
    time.sleep(1)
KeyboardInterrupt

Можно обработать KeyboardInterrupt чтобы исключение не портило настроение в конце программы:

import time

try:
    while True:
        print('press Ctrl-C to stop')
        time.sleep(1)
except KeyboardInterrupt:
    print('\n\nKeyboardInterrupt cleanup code is here')
finally:
    print('\n\nCommon cleanup code is here')

$ python cleanup.py 
press Ctrl-C to stop
press Ctrl-C to stop
press Ctrl-C to stop
^C

KeyboardInterrupt cleanup code is here


Common cleanup code is here