Store thread additional info out of threading.Thread.

[fabioz]

This is a refactoring meant to protect against future issues such as: #492 ('NoneType' object has no attribute 'additional_info'.

The main reason this error happens is because internally the thread information is stored in the threading Threads, but it's not ideal to rely on it because its lifecycle isn't great for the debugger (which may debug things before/after it's actually created and needs to be extremely careful not to create dummy threads).

So, the idea would be creating a separate structure to hold that information.

A plain thread-local storage doesn't work out of the box because we may have to access/mutate that information from different threads, although it'd be nice to have something along those lines (I still need to investigate a bit more here as there are some corner cases to deal with).