A couple of changes mean that only an R or r will roll. Any other character will quit

import random

while True:
    print('Your score so far is {}.'.format(myScore))
    print("Would you like to roll or quit?")
    ans = input("Roll...")
    if ans.lower() == 'r':
        R = np.random.randint(1, 8)
        print("You rolled a {}.".format(R))
        myScore = R + myScore
    else:
        print("Now I'll see if I can break your score...")
        break

The while loop will match the condition only when the control returns back to it, i.e when the for loops are executed completely. So, that's why your program doesn't exits immediately even though the condition was met.

But, in case the condition was not met for any values of a,b,c then your code will end up in an infinite loop.

You should use a function here as the return statement will do what you're asking for.

def func(a,b,c):
    for a in range(3,500):
        for b in range(a+1,500):
            c = (a**2 + b**2)**0.5
            if a + b + c == 1000:
                print a, b, c
                print a*b*c
                return # causes your function to exit, and return a value to caller

func(3,4,5)

Apart from @Sukrit Kalra's answer, where he used exit flags you can also use sys.exit() if your program doesn't have any code after that code block.

import sys
a = 3
b = 4
c = 5
for a in range(3,500):
    for b in range(a+1,500):
        c = (a**2 + b**2)**0.5
        if a + b + c == 1000:
            print a, b, c
            print a*b*c
            sys.exit()     #stops the script

help on sys.exit:

>>> print sys.exit.__doc__
exit([status])

Exit the interpreter by raising SystemExit(status).
If the status is omitted or None, it defaults to zero (i.e., success).
If the status is numeric, it will be used as the system exit status.
If it is another kind of object, it will be printed and the system
exit status will be one (i.e., failure).