I'll repeat! When MameWAH launches an emulator the keyboard input (control) is in the hands of the emulator. The emulator needs to be able to exit with a single keypress and then when the emulator closes, control is passed back to MameWAH. This is why there are so many hacked emulators and commandline wrappers available. Because many of them DO NOT exit with the Escape key. For instance, Nebula. It requires Shift+Escape to exit. Some like Handy (Atari Lynx) use the Escape key to toggle between full screen and windowed mode.
If you use an IPac you can program it to exit with a single keypress using macros.
I will repeat one last time. This is NOT a function of MameWAH so don't bother to check the docs.
I beleive this will apply to almost any front end unless it has a keyboard hook coded in which can monitor for certain keypresses and then send a command to a running process.