I can reproduce reliably this way.

In the following environment:

$ echo $PROMPT_COMMAND
_direnv_hook
$ type _direnv_hook
_direnv_hook is a function
_direnv_hook ()
{
    local previous_exit_status=$?;
    trap -- '' SIGINT;
    eval "$("/nix/store/21f554786n26jy6nq2z9xp8687zi0ach-direnv-2.25.0/bin/direnv" export bash)";
    trap - SIGINT;
    return $previous_exit_status
}
$ ls -a
.  ..  .direnv  .envrc  shell.nix
$ cat .envrc
use nix
$ cat shell.nix
(import <nixpkgs> { }).mkShell {
  name = "test";
}
$ bash --version
GNU bash, version 4.4.23(1)-release (x86_64-apple-darwin17.7.0)
Copyright (C) 2016 Free Software Foundation, Inc.
License GPLv3+: GNU GPL version 3 or later <http://gnu.org/licenses/gpl.html>

This is free software; you are free to change and redistribute it.
There is NO WARRANTY, to the extent permitted by law.
$ which bash
/nix/store/x5l2ffyi01f109rk44cihgv71af1jz7z-bash-interactive-4.4-p23/bin/bash
$

I hold down Ctrl-C to spam SIGINT to bash. It will exit after a few seconds of this. I'm not sure what aspect of my environment is causing this, but setting PROMPT_COMMAND='' seems to make it stop happening.

This behavior seems to be triggered by direnv, but it can not be fixed by direnv. See https://github.com/direnv/direnv/issues/627 for discussion and yet another way to trigger the problem.

It happens for me with bash 5.0-p18 on NixOS, which has no extra patches besides enabling PGRP_PIPE.

Just in case, you did send a Ctrl+C, right? I didn't state clearly that you have to ^C it yourself.

To reproduce

bash$ echo $(sleep 10)
^C

This exits the bash process, typically causing terminal emulator windows to close. I've tested this in Konsole, xfce4-terminal, xterm and gnome-terminal.

Interrupting sleep 10 by itself works just fine.
Variations with command substitution in a different 'role' produce the same outcome. For example $(sleep 10) by itself or a=$(sleep 10).

This is similar to but distinct from https://savannah.gnu.org/support/?108593 which is about process substitution and has been resolved.