If a person is praying witr (final odd prayer of late night) and during his
prayer the muathin (caller of prayer) called for fajr (dawn) prayer,
should he continue with his witr?
Yes, if the call to prayer was during his witr, he should complete the prayer and he is excused. This matter is part of the case of the timing of witr prayer: i.e., does witr end at the start of the timing of the fajr prayer or at the end of the timing of the fajr prayer? The majority of scholars (al-jumhoor) are in agreement that answer is the start of fajr prayer.1
From the book What Should You Do in the Following Situations... ?
1 Is'aaf Ahl il-Asr bi-ma Warada fi Ahkaam Salaat il-Witr, by Faihan al-Mutairi, p.33.