The character it's expecting is ^?, which was a key labeled DEL on their legacy terminals (e.g. VT220).
You can do stty intr ^? before starting the application to make it use this for the interrupt signal, but I don't know if there's a way to configure Putty to send it for DEL. I know some other terminals allow it to be remapped.
You can't just change the message it prints?
You may need a different terminal emulator, or an extra terminal emulation layer similar to screen between your terminal and the application.
EDIT: If you select the "SCO" option under "Function keys and keypad", the DEL key should generate
^?, which you can map to stty intr. You should also set Backspace to Control-H. It's also possible that the application may expect the character sequences the Home, End, etc keys generate in this mode, since you said it was an app designed to run on a SCO operating system.
However, you should consider @StephaneChazelas' answer, since using screen for this would create a more controlled environment (i.e. you wouldn't have to configure putty on everyone's client machine)