When interrupting a query on a Master, does it replicate to the Slave?
This is a local phenomenon within the MySQL Replication Architecture. Here is a sample message that can sometimes appear when you interrupt a query on a Master


  Query partially completed on the master (error on master: 1053) and was aborted. There is a chance that your master is inconsistent at this point. If you are sure that your master is ok, run this query manually on the slave and then restart the slave with SET GLOBAL SQL_SLAVE_SKIP_COUNTER=1; START SLAVE; . Query: (INSERT vhc (v_id, vc_id) SELECT 7421594, vc_id FROM vc WHERE label='st' AND value='re')


Error 1053 is a Server Shutdown. Obviously, the intent was not to shutdown mysql and not tell connected Slaves. Hitting Ctrl-C on a Master would kill the DB Connection. However, such disconnects are simply interpreted as a shutdown. In my old post Does MySQL support replicating all databases?, I described how MySQL replicates from Master to Slave:


Master has Binary Logging enabled
Master records completed SQL Statements
Master will inject 'USE dbname;' among the SQL Statements it records
Slave connects to Master (IO Thread)
Slave IO Thread requests next SQL statement from the Binary Logs
Slave IO Thread copies it to its Relay Logs
Slave SQL Thread Processes its Relay Log Entries FIFO (Queue)


Looking back at the error message I described, the Slave detected that a binlog event in its relay logs that came from the Master. It was anticipating another event with the actual SQL saying everything went well on the Master. Error 1053 (the phantom shutdown caused by Ctrl-C) came up instead. This will give you the chance to say OH MASTER HAD THAT QUERY INTERRUPTED. I"LL GO LOOK AT THE DATA TO SEE IF THEY MATCH.

When it comes to your actual question, I would go with #1


  Nothing happened on the slave, because master waits until the query is finished executing before it sends the query to the slave.


but with a caveat


  Since Ctrl-C was done on the Master, the Master recorded the SQL in the binlog along with error 1053. The Slave intercepted this scenario.