Probably years late here, but here's a script to close out both the game and the emulator, using Virtua Cop3 as an example (ESC key closes everything). For this, you need to launch the xbe file and associate it with cxbx.exe (select always open with):
Run, C:\Virtua Cop 3 CXBX\ROMS\Virtua Cop 3\Default.xbe
$Esc:: ; Quit Game
Process, Close, cxbx.exe
Run,taskkill /im "cxbx.exe" /F
Process, Close, cxbxr-ldr.exe
Run,taskkill /im "cxbxr-ldr.exe" /F
ExitApp ; Terminate script
return