It appears that when the Vulkan backend is used, the ENDOOM screen doesn't work correctly. Instead of ENDOOM, I see the exact same image that I saw just before exiting, complete with the "are you sure you want to quit" message. Clicking anywhere on the window or pressing a key will result in ENDOOM showing up for a very short time before the window disappears. This only happens with the Vulkan backend regardless of the rendering mode (hardware-accelerated, software, true-color software etc).
Tested in GZDoom 4.5.0 and g4.6pre-8-g6e3a4c590.