I don't have a running Wx available, but it sounds similar to a basic fine point in Gtk2. Since it's likely that your Wx build is based on the Gtk2 libs, I will mention it. You may have some confusion between the signal handlers between the "destroy" and "delete_event". An explanation by muppet is below.

> my $window => Gtk2::Window -> new;
> $window -> signal_connect ( 'delete_event', sub { Gtk2 -> main_quit;
+ } );

Connect this to 'destroy' instead of 'delete-event'.  The handler for
'delete-event' is supposed to return a boolean value saying "i handled
+ this"
or "i didn't handle this", that is typically used to inhibit destructi
+on of
the window.  You're not doing that, though.  The default action from
'delete-event' is to destroy the window, which will cause the 'destroy
+' event
to fire.  Of course, you can also get 'destroy' from other places in y
+our
program.  So, if you connect the quit of the main loop to the main win
+dow's
'destroy' rather than 'delete-event', you get a more robust program.
[download]

and here is a Gtk2 example which demonstrates the difference between delete and destroy. The delete_event is what is connected to the window manager's Close button. It sounds like you may need to intercept one of those signals in Wx.

#!/usr/bin/perl
use warnings;
use strict;
use Gtk2 -init;

my $window = Gtk2::Window->new;
$window->add( Gtk2::Label->new("I'm a banana!") );
$window->show_all;

$window->signal_connect(
    delete_event => sub {
        return !ask( $_[0], "Really quit?" );
    }
);

$window->signal_connect( destroy => sub { Gtk2->main_quit } );
Gtk2->main;

sub ask {
    my ( $parent, $question ) = @_;
    my $msgbox =
      Gtk2::MessageDialog->new( $parent, [], 'question', 'yes-no', $qu
+estion );
    my $response = $msgbox->run();
    $msgbox->destroy;
    return $response eq 'yes';
}
[download]