Throwing InterruptException to download task not a good idea

Interrupting the download task by scheduling an InterruptException on to it, like what we do [here](https://github.com/JuliaComputing/OpenAPI.jl/blob/6c820c5b0c5e235a6a1468ee0ab6bf237aa16d6c/src/client.jl#L592) is not a good idea. It can lead to data race conditions and corruption.

We need to replace it with something that is safe. Ref https://github.com/JuliaLang/Downloads.jl/issues/255 