Is your feature request related to a problem? Please describe.
This library prevents the application from shutting down when the main application thread ends. The threads launched by the library are what prevent it from shutting down: if they aren't explicitly closed, the process doesn't end.

Describe the solution you'd like
Either allow the user to pass through a daemonize flag for threads spawned by the library or allow the user to supply a ThreadFactory that the library can use to spawn threads.

Describe alternatives you've considered
Using my own Thread to launch a server works fine...

        Thread serverThread = new Thread(server);
        serverThread.setName("WebSocket Server Thread");
        serverThread.setDaemon(true);
        serverThread.start();

But there is no equivalent for clients...

        WebSocketClient client = new Client(new URI("ws://localhost:8887"));
        Thread clientThread = new Thread(client);
        clientThread.setName("WebSocket Server Thread");
        clientThread.setDaemon(true);
        clientThread.start();
        client.sendPing();    // ERRORS OUT
        client.closeBlocking();
        clientThread.join(5000);

Additional context
N/A