Sklearn with Joblib raises "AttributeError: 'NoneType' object has no attribute 'submit'"

Question

I get the weirdest error when I use joblib (1.2.0) wit scikit-learn. Here is a MWE:

import numpy as np
from joblib import Parallel, delayed, parallel_backend
from sklearn.neighbors import NearestNeighbors


def it():    
    df = np.random.randn(1000).reshape(-1,1)
    NearestNeighbors(n_neighbors=2, p=2).fit(df).kneighbors(df)
    yield 1

f = lambda x: 1
with parallel_backend("loky", inner_max_num_threads=1):
    res = Parallel(n_jobs=2)(delayed(f)(p) for p in  it())

Running this code, I get AttributeError: 'NoneType' object has no attribute 'submit'. I cannot get around it. If I comment out the call to NearestNeighbors the problem disappears. If I let n_jobs=1 the problem disappears. If I skip the context manager - the problem disappears.