Remove OMP_NUM_THREADS if set to empty

Generally though, sometimes our use of OMP_NUM_THREADS makes other
systems sad.  It's unfortunately somewhat difficult to turn off.  A
common approach is that people set `OMP_NUM_THREADS=""` but this doesn't
properly unset things.

I'm curious if an approach like this would be helpful.

There might be a cleaner way to do this, and this might be a bad idea.
Please feel free to reject.  It was just easy to put this up as a PR.

distributed/nanny.py

@@ -240,6 +240,7 @@ def __init__(  # type: ignore[no-untyped-def]
             # https://github.com/dask/dask/issues/6640.
             self.pre_spawn_env.update({"PYTHONHASHSEED": "6640"})
 
+
         self.env = merge(
             self.pre_spawn_env,
             _get_env_variables("distributed.nanny.environ"),
@@ -1031,4 +1032,9 @@ def _get_env_variables(config_key: str) -> dict[str, str]:
     # Override dask config with explicitly defined env variables from the OS
     # Allow unsetting a variable in a config override by setting its value to None.
     cfg = {k: os.environ.get(k, str(v)) for k, v in cfg.items() if v is not None}
+
+    for k, v in list(cfg.items()):
+        if "_NUM_THREADS" in k and not v:
+            del cfg[k]
+
     return cfg

distributed/tests/test_nanny.py

@@ -312,6 +312,19 @@ async def test_environment_variable(c, s):
     await asyncio.gather(a.close(), b.close())
 
 
+@gen_cluster(
+    nthreads=[("", 1)],
+    client=True,
+    Worker=Nanny,
+    config={
+        "distributed.nanny.pre-spawn-environ": {"OMP_NUM_THREADS": ""},
+    },
+)
+async def test_omp_num_threads_off(c, s, a):
+    results = await c.run(lambda: "OMP_NUM_THREADS" in os.environ)
+    assert results == {a.worker_address: False}
+
+
 @gen_cluster(nthreads=[], client=True)
 async def test_environment_variable_by_config(c, s, monkeypatch):
     with dask.config.set({"distributed.nanny.environ": "456"}):