Most of the PC games as old as Alley Cat weren't meant to be "exited" anyways. In that time, hard drives were not invented/almost nonexistant and you needed to boot with a bootdisk. It was easier and faster to simply hit the on/off or reset button back then.

Ctrl+Y is correct and working here. Did you keep in mind that your keymap might differ from US layout? I have to press Ctrl+Z for example, because the Z and Y keys are swapped. Also, quitting the game isn't immediately noticable. The game's last screen stays, and even when you type something, it's in a larger than normal font, because the screenmode isn't reset to DOS default.

Exactly how do you quit this program? I searched all over and the best I could find was "Crtl+Y" which does not work.

This is not a problem if you are running virtual DOS, since you can alt+tab to Windows. If you're running DOS there does not appear to be a way out.

Any ideas?