I don’t know if there’s a better way, but worst case would be to override FWindowsApplication and write something there.
There are also several possible delegates listed in FCoreDelegates: OnExit, OnPreExit, OnEnginePreExit, maybe more. Not sure if those can prevent the exit from occurring, though.
I could’ve swore there was something somewhere called something like “RequestExit” but I can’t find it right now