from PyQt4 import QtGui, QtCore
import sys, time
thd, thd2 = None, None

class T(QtCore.QThread):
    def __init__(self, f):
        super().__init__()
        self.f = f
    def run(self):
        print("running", self.f)
        self.f()

def thd_fin():
    print("Fin.")

def thd_fin3():
    print("Fin3.")

def threadInThread():
    global thd2
    thd2 = T(lambda: None)
    thd2.finished.connect(thd_fin3)
    thd2.start()
    time.sleep(2)

class Form(QtGui.QWidget):
    def __init__(self):
        super().__init__()
        global thd
        thd = T(threadInThread)
        thd.finished.connect(thd_fin)
        thd.start()

app = QtGui.QApplication(sys.argv)
f = Form()
f.show()
app.exec()