Alright, this puzzled me for a little while, but the solution was actually pretty simple.
ZSNES has a built-in option to set a single key as a quit shortcut, located in its menu under:
MISC->MISC KEYS->QUICK KEYS->EXIT
The only problem with this being that when you click it to set the key, it tells you quite clearly:
"Enter the key or button to use (ESC to clear)"
Meaning that you can't simply set ESC to that function through the GUI, because it interprets you pressing ESC as "I don't want any key to do this" instead of "I want the ESC key to do this"
But, of course, this settings is simply stored in the program's config file! So open that up with notepad and find the setting "KeyQuickExit" If you don't have a key set, it'll read as "KeyQuickExit=0" the setting you want for it to be ESC is "KeyQuickExit=1"
Now if you'll boot up ZSNES and look at the MISC KEY menu again, you'll notice the EXIT function is set to ESC (just don't click it unless you want to edit the config file again

). Now you're good to go! Whatever oddness causes ZSNES to wig out and not close properly using mala's hotkey is no longer a problem since you're not using a hotkey.
