There are three options as I see it:
1) If you have the Menu Hidden and TelnetCE in full screen mode, you can specify a key combination that will reveal it. Once the Options Menu is revealed you can then navigate to Exit. I generally prefer using the Alt-O key combination for this purposes.
2) Specify a Program Exit Key in the Emulation Parameters
3)Create a Wavelink script that is activated by a custom key press that will close the TelnetCE application.
Script( Exit )
Activate( On_Key, 0x79, None )
Comment: 0x79 is F10 in this instance. You would replace 0x79 with the equivalent hex code of the key or key combination that you prefer
Exit_Application( 0 )