Like Sallen said you should be able to just close it using the big picture UI. If not you could bind Alt+F4 to some unused button on your controller using steam input mapping (on PS5 controllers you could use the mic button for that).
Pressing the guide button in Yuzu makes the noise of the Big Picture UI but it doesn’t actually give it focus. I guess this could be a borderless window / full screen issue that I’ll take a look at tonight.