I haven't found any specific forum for any KoF on Gog except this on. So I don't have anywhere else to ask my question:

My question is: If I choose a given single-player mode, or am already in a fight, how do I quit and return to the main menu? (Is there some undocumented key stroke for it?)

It seems there's no way to reset or abandon the fight you are in, except terminating the program in system manager. (Which is annoying to the extreme of being a game breaking lack of a feature.)