As other have mentioned, there is no built-in keyboard shortcut. However, we can work some magic with AutoHotkey. I am going to use the Backspace key to close the highlighted Taskbar window:
LastNumber := ""
~*1::LastNumber := "1"
~*2::LastNumber := "2"
~*3::LastNumber := "3"
~*4::LastNumber := "4"
~*5::LastNumber := "5"
~*6::LastNumber := "6"
~*7::LastNumber := "7"
~*8::LastNumber := "8"
~*9::LastNumber := "9"
~*0::LastNumber := "0"
*BackSpace::
IfWinActive, ahk_class TaskListThumbnailWnd
{
WinKey := "LWin"
if (GetKeyState("RWin"))
WinKey := "RWin"
SendInput, {Enter}
WinClose, A
SendInput, {%WinKey% Down}{%LastNumber% Down}{%LastNumber% Up}
}
else
SendInput, {BackSpace}
return
Instructions:
Press and hold the Windows key down. Do not release it until instructed!
Press a number key until the target window is highlighted.
Press the Backspace key. The highlighted window will be closed! If the there is only one window left, then that window will be activated, otherwise the window group list will return.
Repeat steps 2 to 3 to close more windows.
Finally, release the Windows key to be done.
This should work with Taskbar thumbnails enabled or disabled (as shown in the question).