OS X: 10.10.5
I was able to reproduce it.
I started Atom fresh. An Untitled Tab was open, nothing else.
CMD+W closed the untitled tab. At this time no tab is open. Hints are shown in the background.
CMD+W again closes the whole application.
I also found out that this only happens if you have a certain setting active.
If you go to Preferences > Core Settings and have
Close Empty Windows active, that’s where
CMD+W also closes Atom if no other tab is open. Because there’s no tab left the command is being sent to the window.
Just deactivate the
Close Empty Windows setting and you should be fine.