The obligatory simple (untested) solution:

use Term::ReadKey;
use threads;
...
my $flag = 0;
async{ 
    $modem->hangup(), $flag = -1 if ReadKey 0.25;
    redo unless $flag
};

if( $modem->dial( $number ) and not $flag ) {
     print "Modem connected";
     $flag = 1; ## terminate thread
}
else {
     print "Dial failed:", $flag == -1 ? ' Terminated by user' : '';
}
[download]