Fix exception when creating a multiprocessing Pool after importing Lightning

[awaelchli]

What does this PR do?

Fixes #15218

I tried adding a test but when running in pytest, the issue somehow does not reproduce. Only when you run the code in #15218 as a script will it trigger the __del__ on the queue.

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Did you have fun?

I made sure I had fun coding 🙃

cc @Borda @carmocca @justusschock @awaelchli

[otaj]

I love the title of the PR!

[Borda]

Can we have a test for this?