Is there an "On Close" event for MS Access VBA?
No, there isn't an application quit or close event for MS Access. The common approach seems to be having a hidden form open at all times and then handling any logic for the application within the unload event for that form (which will always be fired before Access completely closes).
One possibility is to create a Microsoft Access Shared COM Add-In. However, this would require an installation of Visual Studio, as well as some mid-level programming skills. COM add-ins have startup & shutdown event handlers, and these could be used to perform some actions when these events occur.