Enter the hotkey section in mala for the emulator you are having trouble with.
There will be one hotkey in there already I think, It will be the one that catches the Esc key and closes the program on you.
Select the hotkey action on the left, then tick one of the boxes, alt, shift or ctrl.
Now, to exit the emulator you will need to push Esc & whichever function key you chose at the same time.
So now if you just press Esc, it will not affect Mala at all.

I think that's right anyway...
------------------------------------------------ edit
my bad, just read birdmans comment properly. same answer already given...