Exit macro definition on undefined keys

* lisp/subr.el (undefined): Error out of kmacro definition, if any.
(Bug#28008)

Copyright-paperwork-exempt: yes

lisp/subr.el

@@ -785,8 +785,9 @@ This is the same format used for saving keyboard macros (see
   "Beep to tell the user this binding is undefined."
   (interactive)
   (ding)
-  (message "%s is undefined" (key-description (this-single-command-keys)))
-  (setq defining-kbd-macro nil)
+  (if defining-kbd-macro
+      (error "%s is undefined" (key-description (this-single-command-keys)))
+    (message "%s is undefined" (key-description (this-single-command-keys))))
   (force-mode-line-update)
   ;; If this is a down-mouse event, don't reset prefix-arg;
   ;; pass it to the command run by the up event.