In the PowerShell Integrated Scripting Editor (ISE) v3, the common [Ctrl] + W keyboard shortcut is mapped to the “Close PowerShell Tab” action. Personally, I would like to see different behavior, whereby that shortcut is used to close the active script tab until there are none left, at which point it may then close the active PowerShell tab. Unfortunately that’s not how it works, and it probably won’t get changed for the final release of PowerShell v3. Either way, I did file a bug report for this issue on Microsoft Connect.
There is, in fact, a keyboard shortcut mapped to the “Close Script Tab” action, however it’s a keyboard shortcut that I’m personally not very fond of. The [Ctrl] + [F4] shortcut is rather convoluted, and although it may have a legacy in the Microsoft world, I find it to be very uncomfortable.