You could create a bookmarklet, which is a bookmark, but executes JavaScript code on the page.
To do this, right click your bookmarks bar → "Add Bookmark...". Paste this as the URL:
javascript:window.addEventListener('beforeunload', function(e) { e.preventDefault(); });
Then, when you're on a page you don't want to be easily closed, press the bookmarklet. Next time you try closing the tab or window, it'll show this message:
This lasts temporarily until you leave the page. Give it a try on this site!