Pause Game and Show Pause Menu when game window is minimized or lost focus

you can bind to FSlateApplication::OnApplicationActivationStateChanged and show your pause menu or do whatever logic you need.

something like this:
if (FSlateApplication::IsInitialized())
{
FSlateApplication::Get().OnApplicationActivationStateChanged().AddUObject(this, &AMyPlayerController::OnApplicationDeactivated);
}