I'll try the shutdown and see if that works. Funny thing is I just tried on another machine with the exact same mamewah/zinc config files, rom locations, etc. and it exited no problem.
Edit: I shutdown and tried again but it still won't work. I'm pretty sure it's a Zinc problem I just can't figure out what's causing it. I launched Zinc separately and then when I pressed ESC to quit, the game exited but hung on a command prompt window that said "Closing program...". I'd imagine this is what is causing it to not exit out of mamewah properly since it doesn't even quit properly by itself.
The only games I use it for are Tekken 1, 2, and 3 and Cool Boarders Arcade Jam. I haven't tried any of these in MAME for a long time so not sure if they work just as well as in Zinc. Last time I tried them they didn't which is why I was using Zinc.