If you go into LaunchBox and navigate to tools, manage emulators, epsxe and edit this will open the form to edit your ePSXe on the top of that form there will be a autohotkey tab click on it and enter this code.
; This section closes ePSXe when pressing Escape
$Esc::
{
Process, Close, {{{StartupEXE}}}
}
I've heard recently from other users that if you are using a controller then this doesn't work however if you are using a keyboard then it works without displaying the confirm message.