Is there a way to close open windows directly from Alt+Tab view? Or is there any talk of this feature being included possibly in the future?
Some things have changed on GNOME since 2012, so Scarlet's answer does not work exactly as described anymore. Alt+Tab now shows window previous from the current workspace, while Super+Tab shows grouped application previews from all workspaces. Individual windows of an application can be accessed from Super+Tab by pressing ` (the key above Tab) while holding down Super. Also see this Unix & Linux question for the difference between Alt+Tab and Super+Tab.
On recent Ubuntu versions, you can press Alt+Tab and then F4 or W while holding down Alt on the selected window to close it.
You can also do the same from the Super+Tab view, but you must first enter the windows subgroup and select the window you wish to close with `. Then press F4 or W while holding down Super on the selected window to close it.