Fix issue where an exception is raised because we try to finish a thread that was never started (#4200)

openhands/server/session/agent_session.py

@@ -144,7 +144,9 @@ class AgentSession:
             await self.security_analyzer.close()
 
         self.loop.call_soon_threadsafe(self.loop.stop)
-        self.thread.join()
+        if self.thread:
+            # We may be closing an agent_session that was never actually started
+            self.thread.join()
 
         self._closed = True