Is it possible to close a window within the Mission Control interface?
E.g. by highlighting a window and perform a keyboard/mouse shortcut?
If you use Better Touch Tool, you can configure a shortcut for the keyboard, mouse, magic mouse, trackpad or even Apple remote to close a window, and it will work in Exposé.
BTT is free and it works really well, in my case I configured the close shortcut as a pinch out gesture for my trackpad.