I have trying this emulator.
And yes, there is a bug on my version, on the script "Nestopia, JNES, VirtuaNES, FCEUX, NNNester [Script].au3" in mGalaxy\Data\Scripts folder
HotKeySet("{ESC}", "Terminate")
Runwait ( '"' & $app & '" ' & $command )
Exit 0
;Functions
Func Terminate()
WinClose ( "VirtuaNES")
Exit 0
EndFunc
it can work only with VirtuaNES.
So edit the file and add
;Functions
Func Terminate()
WinClose ( "VirtuaNES")
WinClose ( "Jnes")
Exit 0
EndFunc