OH man I just had a moment of genius. This would be so freakin easy for Props to do and would solve the issue.
On Windows, when only one song is open, "Close" should close it and create a new one! If you then want to immediately open another song, that new one should automatically close itself, just the same as the "initial song" when you first start Reason and immediately open a song.
If you close THAT song without doing anything else, THEN Reason should quit. Just so ALT+F4 works (almost) as it usually does. You'd just have to tap F4 a couple more times.