You can add more forms to the list - each form has a 'real' name, like form1, form2, &etc. If you make sure they are in scope than you can go through a list of them in your onclick event (or, in this case, the ESC key).
if (e.KeyCode == Keys.Escape) {
form1.Close();
form2.Close();
form3.Close();
form4.Close();
}
You could, if clever, even create conditions so only the appropriate windows close on this even.