#coding: utf-8

"""
ZetCode wxPython tutorial

In this example we work with wx.KeyEvent.

author: Jan Bodnar
website: www.zetcode.com
last modified: April 2018
"""

import wx

class Example(wx.Frame):

    def __init__(self, *args, **kw):
        super(Example, self).__init__(*args, **kw)

        self.InitUI()

    def InitUI(self):

        pnl = wx.Panel(self)
        pnl.Bind(wx.EVT_KEY_DOWN, self.OnKeyDown)
        #キーが押されたイヴェント
        pnl.SetFocus()

        self.SetSize((350, 250))
        self.SetTitle('Escキーで終了')
        self.Centre()

    def OnKeyDown(self, e):

        key = e.GetKeyCode()

        if key == wx.WXK_ESCAPE:

            ret  = wx.MessageBox('終了してもよろしいですか？', '確認',
                wx.YES_NO | wx.NO_DEFAULT, self)

            if ret == wx.YES:
                self.Close()


def main():

    app = wx.App()
    ex = Example(None)
    ex.Show()
    app.MainLoop()


if __name__ == '__main__':
    main()

	実行例