No, C-shift-w closes the window. C-q Quits the application, meaning it would close all of your Windows. And if the entire application closes, a hotkey to bring the window back won't work. That's why it's so frustrating when I click it by accident.

https://support.mozilla.org/en-US/kb/keyboard-shortcuts-perf...

There's also a shortcut for re-opening the last closed window(s). Though I don't recall if it works in a Private Browsing window.