You can try this jQuery script injected via the customize_controls_print_footer_scripts
hook:
/**
* Change the url of the Close link in the /wp-admin/customize.php page
* See http://wordpress.stackexchange.com/q/116257
*/
function change_close_url_wpse_116257() {
$url = get_admin_url(); // Edit this to your needs
printf( "<script>
jQuery(document).ready( function(){
jQuery('#customize-header-actions a.back.button').attr('href', '%s');
});
</script>"
, esc_js( $url ) );
}
add_action( 'customize_controls_print_footer_scripts', 'change_close_url_wpse_116257' );