Add nanny's process to processes_to_close
I've noticed that dask-workers hang around for a while if I create a
LocalCluster in a notebook and then restart the kernel.  This may help.
@@ -210,6 +210,7 @@ class Nanny(Server):
'silence_logs': self.silence_logs,
'death_timeout': self.death_timeout})
self.process.daemon = True
+ processes_to_close.add(self.process)
self.process.start()
start = time()
while True:
