I have a similar issue.
On PC I have multiple monitors, the game run on the main monitor and when I pause, the pause screen appears on the 2nd monitor, full screen and blank, I then have to use task manager to exit. This happens with dos games, not tested others.
I also had an issue with the startup screen, where it covered the 2nd monitor and didn't disappear until I existed the game, because of this I turned off the startup screen.