[downloader/fragment] Make single thread download work for --live-from-start (#3446)

Authored by: Lesmiscore

yt_dlp/downloader/fragment.py

@@ -521,8 +521,13 @@ def _download_fragment(fragment):
             for fragment in fragments:
                 if not interrupt_trigger[0]:
                     break
+                try:
                     download_fragment(fragment, ctx)
                     result = append_fragment(decrypt_fragment(fragment, self._read_fragment(ctx)), fragment['frag_index'], ctx)
+                except KeyboardInterrupt:
+                    if info_dict.get('is_live'):
+                        break
+                    raise
                 if not result:
                     return False