Signals that terminate an application aren't meant to allow the application any further user interaction. Either the user is no longer available (the
HUP signal, whose original meaning was that the user was connected to the computer through a modem and the phone died), or the user doesn't want to be bothered (the default
TERM signal and its more violent siblings
KILL). Many applications will try to save unsaved work somewhere if they receive the
HUP signal, though.
A different option for Linux (and other unices) is to send a notification to the window, rather than the process: the
_NET_CLOSE_WINDOW message tells an application to get rid of a specific window gracefully. You can send this message from the command line with
wmctrl -c WINDOW_TITLE_SUBSTRING. Unfortunately, not all applications support this.