Force GVim to prompt before close

Putting the following in your vimrc could be used to completely disable the ZZ shortcut altogether:

nnoremap ZZ   <Nop>

Or you could remap them to the standard behaviour of :q :

if has("gui_running")
    nnoremap ZZ :q
    nnoremap :wq :q
endif

Call a function on ZZ and if there is only one tab and window left, prompt whether to close or not (default is to close). See :help confirm().

nnoremap ZZ :call QuitPrompt()<cr>

fun! QuitPrompt()
   if has("gui_running") && tabpagenr("$") == 1 && winnr("$") == 1
      let choice = confirm("Close?", "&yes\n&no", 1)
      if choice == 1 | wq | endif
   else | wq | endif
endfun

Add this in your .vimrc:

set confirm