Fix persistent worker exits before pin_memory thread (#71579)
Summary:
Pull Request resolved: https://github.com/pytorch/pytorch/pull/71579
Fixes #1551
As the comment in the code, register a function to terminate persistent workers.
By adding a reference of these workers in `atexit`, it would prevent Python interpreter kills these persistent worker processes before `pin_memorh_thread` exits.
And, if users explicitly kills DataLoader iterator, such function in `atexit` would be a no-op.
Test Plan: Imported from OSS
Reviewed By: VitalyFedyunin
Differential Revision: D33896537
Pulled By: ejguan
fbshipit-source-id: 36b57eac7523d8aa180180c2b61fc693ea4638ae
(cherry picked from commit 05add2ae0fcd08b6ecb5dc46cfbf4c126c6427ed)
