>What do I have to return to stop the close?

Issue NODEFAULT in QueryUnload. In general, it's a good idea to combine this with a return of .F. from QueryUnload so that a command button can call it. Something like this

FUNCTION QueryUnload
  LOCAL llresult
  llresult = .T.
  IF < some logical condition >
    * Code to handle it
    NODEFAULT
    llresult = .F.
  ENDIF
  RETURN llresult
ENDFUNC

PROCEDURE Command_Click
  
  IF ThisForm.QueryUnload()
    ThisForm.Release
  ENDIF
ENDPROC

This would allow form to handle the closure of the form regardless of the method.