No it does not
With a read-only window, yes (an existing email).
But once you are in write-mode (composing a new email), pressing Escape pops up a "Are you sure?" dialog.
And that's exactly the point - pressing escape when editing is a common operation. Especially in MS programs, where shortcut operation these days (as compared to the 90's/00's) are multi-key operations (as with VI/Emacs/whatever).