Solved it.

Replace $mw->Destroy(\&exit_app) with $mw->protocol('WM_DELETE_WINDOW' => \&exit_app)

use strict;
use warnings;
use Tk;
use Tk::DialogBox;

my $mw = MainWindow->new();

my $button = $mw->Button(-text => 'Exit', -command=> \&exit_app)->pack
+(-side=>'right', -ipadx => 10, -padx=>30);

$mw->protocol('WM_DELETE_WINDOW' => \&exit_app)  ;

MainLoop;

sub exit_app{
    print "1";
        my $db = $mw->DialogBox(-title => 'Save?',-buttons => ['CSV','
+Abandon']);
        $db->Label(-text => "Do you wish to save a new CSV file or aba
+ndon changes?")->pack();
        my $button = $db->Show();
    if ($button eq 'CSV'){
        save_csv();
        }
        $mw->destroy();
}

sub save_csv{
    return 1;
}
[download]