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.
You can use Mission Control Plus to close windows in Mission Control: it adds an "X" sign on the upper left corner of a window when you hover over it; clicking the "X" sign would close that window.
You can also close windows by using the cmd+W keyboard shortcut, or the mouse middle click.
Full disclosure: I'm the developer behind Mission Control Plus.