I would like to extend both answers by Gregg and Boaz Yaniv. You would normally run blocking code in separate thread therefore you need to send WM_QUIT to the thread. You should use PostQuitMessage as noted by Gregg but that works only in current thread. You shouldn't use PostThreadMessage to send WM_QUIT (can't remember where I see it in docs). You can read more about it in discussion "Why is there a special PostQuitMessage function?". I think it's better to send WM_CLOSE to the thread first.
# if more hotkeys needs to be supported at the same time this class needs to be rewritten
class HotKey:
    def __init__(self, modifier_key, virtual_key, callback):
        self.hotkey_id = 1
        # shared variable to pass thread id
        self.pid = mpdummy.Value('l', 0)
        # start checking hotkey press in new thread
        self.process_pool = mpdummy.Pool()
        self.process_pool.apply_async(HotKey.register, (self.hotkey_id, self.pid, modifier_key, virtual_key, callback, ))
        self.process_pool.close()
    # bind windows global hotkey
    @staticmethod
    def register(hotkey_id, pid, modifier_key, virtual_key, callback):
        # set thread ID to shared variable
        # Win API could also be used:
        # ctypes.windll.Kernel32.GetCurrentThreadId()
        pid.value = mpdummy.current_process().ident
        # register hotkey with Win API
        logging.getLogger('default').info("Registering hotkey with id " + str(hotkey_id) + " for key " + str(modifier_key) + " " + str(virtual_key))
        if not ctypes.windll.user32.RegisterHotKey(None, hotkey_id, modifier_key, virtual_key):
            logging.getLogger('default').info("Unable to register hotkey with id " + str(hotkey_id))
        msg = ctypes.wintypes.MSG()
        try:
            # wait for a message - it doesn't return until some message arrives
            while ctypes.windll.user32.GetMessageA(ctypes.byref(msg), None, 0, 0) != 0:
                # WM_HOTKEY     0x0312
                # https://msdn.microsoft.com/en-us/library/windows/desktop/ms646279(v=vs.85).aspx
                if msg.message == 0x0312:
                    logging.getLogger('default').info("Pressed hotkey with id " + str(hotkey_id))
                    callback()
                # WM_CLOSE
                # https://msdn.microsoft.com/en-us/library/windows/desktop/ms632617(v=vs.85).aspx
                elif msg.message == 0x0010:
                    # quit current thread
                    # WM_QUIT shouldn't be send with PostThreadMessageA therefore we send WM_CLOSE and quit inside thread.
                    # More info at:
                    # https://msdn.microsoft.com/en-us/library/windows/desktop/ms644945(v=vs.85).aspx
                    # https://blogs.msdn.microsoft.com/oldnewthing/20051104-33/?p=33453
                    ctypes.windll.user32.PostQuitMessage(0)
                ctypes.windll.user32.TranslateMessage(ctypes.byref(msg))
                ctypes.windll.user32.DispatchMessageA(ctypes.byref(msg))
        finally:
            logging.getLogger('default').info("Unregistering hotkey for id " + str(hotkey_id))
            ctypes.windll.user32.UnregisterHotKey(None, hotkey_id)
    def unregister(self):
        # send WM_CLOSE signal to thread checking for messages
        # WM_CLOSE      0x0010
        # https://msdn.microsoft.com/en-us/library/windows/desktop/ms632617(v=vs.85).aspx
        ctypes.windll.user32.PostThreadMessageA(self.pid.value, 0x0010, 0, 0)
        # wait for thread to finish
        self.process_pool.join()
I am using it for RegisterHotKey but principle is same. This class could be called as:
# bind global hotkey for "pressing" start/split button
# MOD_ALT       0x0001
# VK_F12        0x7B
# https://msdn.microsoft.com/en-us/library/windows/desktop/ms646309(v=vs.85).aspx
# https://msdn.microsoft.com/en-us/library/windows/desktop/dd375731.aspx
self.hotkey = hotkey.HotKey(0x0001, 0x7B, self.special_key_pressed)
When you want to end waiting for messages call:
self.hotkey.unregister()