For those who have the same problem, after checking the code for Hystrix Circuit Breaker library, I realised that firstly there is not any mechanism to notify Circuit state changes. Secondly, even if the events were there it wouldn't solve my issue. Because, Half-Open state is reached with the first attempt (service call) after the sleep window (when the circuit is open). while, for my case when JMS Listener is stopped there won't be any next attempt/call.
So, I should write a custom component that starts a timer/scheduler when opening the circuit and moves to half-open state automatically when the timer (sleep window) triggered. This should be independent to the next attempt.