One way would be to make the MATLAB Engine session visible before performing long calculations. Thus, if you want to interrupt execution, you simply paste the visible command window into focus and press Ctrl-C.
This can be done using engSetVisible
Here is a brief example that I tried using MATLAB COM Automation. The process should be similar, since the MATLAB Engine is implemented using COM on Windows (pipes are used instead on Unix).
Scripts run in Powershell:
# create MATLAB automation server $m = New-Object -ComObject matlab.application $m | Get-Member
During a pause, you can break it by pressing Ctrl + c in the command window:

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