(ns myawt)
(import '(java.awt Frame)
        '(java.awt.event WindowListener))
(def window-width 600)
(def window-height 480)
(doto (Frame.)
    (.addWindowListener
        (proxy [WindowListener] []
            (windowActivated [e])
            (windowClosed [e] (System/exit 0))
            (windowClosing [e] (.dispose (.getWindow e)))
            (windowDeactivated [e])
            (windowDeiconified [e])
            (windowIconified [e])
            (windowOpened [e])))
     (.setSize window-width window-height)
     (.setVisible true))
windowClosedとwindowClosingのイベントハンドラを実装するのがポイントです。参照
Frame
WindowListener