This is similar to the _widgetclosed handler in qt and the _on_close
handler in wx.

PR Summary

PR Checklist

Tests and Styling

• Has pytest style unit tests (and pytest passes).
• Is Flake 8 compliant (install flake8-docstrings and run flake8 --docstring-convention=all).

Documentation

• New features are documented, with examples if plot related.
• New features have an entry in doc/users/next_whats_new/ (follow instructions in README.rst there).
• API changes documented in doc/api/next_api_changes/ (follow instructions in README.rst there).
• Documentation is sphinx and numpydoc compliant (the docs should build without error).