The “can’t start new thread” error almost certainly due to the fact that you have already have too many threads running within your python process, and due to a resource limit of some kind the request to create a new thread is refused.
You should probably look at the number of threads you’re creating; the maximum number you will be able to create will be determined by your environment, but it should be in the order of hundreds at least.
It would probably be a good idea to re-think your architecture here; seeing as this is running asynchronously anyhow, perhaps you could use a pool of threads to fetch resources from another site instead of always starting up a thread for every request.
Another improvement to consider is your use of Thread.join and Thread.stop; this would probably be better accomplished by providing a timeout value to the constructor of HTTPSConnection.