The problem occurred when our scheduling program (Airflow) noticed the program was taking too long to run and decided to kill it. It sent a kill signal to Python, which dutifully caught the exception, retried and continued to run. I had to add a special case to allow Airflow to kill the program.
This PEP just forced me to look up the difference between the classes Exception and BaseException. It turns out that BaseException includes every exception, whereas Exception excludes those that are trying to exit the program (like SystemExit and KeyboardInterrupt).