Now that I've thought about for a bit, it's just getting a nil result from linenoise when you hit CTRL+C. The nil will cause the exception so why not look for that in plugins/console/init.lua:

The linenoise reading code:

Code
local scr = [[
local ln = require('linenoise')
ln.setcompletion(function(c, str, pos)
	status = str .. "\x01" .. tostring(pos)
	yield()
	ln.addcompletion(c, status:match("([^\x01]*)\x01(.*)"))
end)
return ln.linenoise('\x1b[1;36m[MAME]\x1b[0m> ')
]]

so instead of just returning the value from ln.linenoise, we'll check it for NIL and if so, convert it to the empty string.

Code
local scr = [[
local ln = require('linenoise')
ln.setcompletion(function(c, str, pos)
	status = str .. "\x01" .. tostring(pos)
	yield()
	ln.addcompletion(c, status:match("([^\x01]*)\x01(.*)"))
end)
local lnresult = ln.linenoise('\x1b[1;36m[MAME]\x1b[0m> ')
if lnresult == nil then print ("NIL result") lnresult = "" end
return lnresult
]]