resolve memtest86+ (4.20-1.1ubuntu1) hangs

Quick workaround:

Append the following to /etc/default/grub:

GRUB_DISABLE_OS_PROBER=true

Run 

$ sudo update-grub2

This will disable os-prober so grub doesn't see the other disks (this way it won't fail with an error).
Run sudo dpkg --configure -a to complete the configuration (should be successful this time).
The side-effect of this workaround is that you will loose all other boot entries in GRUB, so if you have a Windows dual boot or other distro's, you should remove or comment the line in /etc/default/grub and then run sudo update-grub2 once more to fully populate the GRUB menu.