Check the exit status of the command. If the command was terminated by a signal the exit code will be 128 + the signal number. From the GNU online documentation for bash:
For the shell’s purposes, a command which exits with a zero exit status has succeeded. A non-zero exit status indicates failure. This seemingly counter-intuitive scheme is used so there is one well-defined way to indicate success and a variety of ways to indicate various failure modes. When a command terminates on a fatal signal whose number is N, Bash uses the value 128+N as the exit status.
POSIX also specifies that the value of a command that terminated by a signal is greater than 128, but does not seem to specify its exact value like GNU does:
The exit status of a command that terminated because it received a signal shall be reported as greater than 128.
For example if you interrupt a command with control-C the exit code will be 130, because SIGINT is signal 2 on Unix systems. So:
while [ 1 ]; do COMMAND; test $? -gt 128 && break; done