Query to Linked Server Ignores Configured Timeout Connection
I was able to achieve it in two ways:
Configuring a timeout for the whole server
You should configure the server timeout option (remote login timeout) using sp_configure:
EXEC sp_configure 'remote login timeout', 1 ;  
GO  
RECONFIGURE ;  
GO  

Configuring a timeout for the specified Linked Server
You should configure the Connection Timeout with the value 1 or more:

If you query sys.servers by now, you should see the specified value for the column connect_timeout.

I noticed a strange behavior after configuring it. SQL Server seems to try the remote connection longer than the specified connection timeout the first time you try to run a query using a linked server (as if it was insisting to be sure it can't reach the remote server). But the following attempts of running a query it threw the connection error quickly as specified.