Not sure if you can achieve it directly through escalations, as it looks as if you can only specify the end of the escalation as being of type "Completion" or "End", and not both.
As a workaround, is it possible to modify your process slightly, around your "Closed" status. Just prior to "Closed", is it possible to put a new dummy status of type "Completion" (which when reached will complete the escalation), which is followed by an always true pre-condition, which is followed by an automatic "Move On" windowless action that does nothing but move on, which is followed by your "Closed" status.
Therefore, each time the process gets to the new dummy status (and completes escalation), it automatically keeps going to "Closed".
I'm not sure if that made any sense or not...
That was exactly the answer I was looking for!
Tested, and implemented perfectly.