You can use do this by using Better Touch Tool as suggested by Anthonin C's comment. However, if you have a trackpad or touchpad, you may find that using a gesture instead of a keyboard shortcut avoids the problems outlined in the question linked to by Anthonin C. If this is something that interests you, then you would:
- Install BTT
- Add a new global gesture
- Set up a Touchpad Gesture (such as a 3 finger click)
- Set the Predefined Action as Close window below cursor
This will then work from Mission control.
By the way, if you're wanting to close an App rather than just a window, you can also do this via the heads-up display. More specifically:
- Press commandtab to open the heads-up display
- Keep holding the command key once when you see the heads-up display
- Cycle through the apps by pressing the tab key or the ~ key
- Once the app you want to quit is selected, press the Q key to quit the app
NOTE: - You could also use the heads up display to quickly navigate to an App and, once there, use the command+W keyboard shortcut to close the window. However, if you have multiple windows open you could inadvertently close the wrong window.
UPDATE re Better Touch Tool
The developer of this app has set up a new site for its distribution.
Legacy versions of his apps (released before February 2018) can still be used for free.