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When raising an exception that is unpicklable in a worker process. This used to be the case for all exceptions that have a non-trivial constructor but this was fixed by http://bugs.python.org/issue1692335.
I now have the concrete problem with cx_Oracle in which the error type cx_Oracle._Error doesn't define tp_new which results in a
 UnpicklingError: NEWOBJ class argument has NULL tp_new
I have already reported this fact at https://bitbucket.org/anthony_tuininga/cx_oracle/issues/23.
However, I think that the worker thread should either be able to recover from this (which should be quite easy) or, at the very least, fail cleanly. Currently, when this condition is triggered the worker processes are not killed alongside the parent.
There is an existing report and a patch in the backports project: https://github.com/agronholm/pythonfutures/issues/30#issuecomment-132576545