Hm. Supposed to be the gray weave on the background - in other words, nothing, by default - and twm actually has most of its stuff on the left mouse button IIRC so the exit should be there, but try the other menu if not.
But I was joking - with a *lot* of tweaking, twm can be okay but most people find it radically deficient. It was fantastic in 1985.
Like I say, if all else fails you should be able to kill the server.
-- Yeah. Just fired it up on another vt. Just left-click and 'exit' is the last menu entry. Should be all there is to it.