Calling self.close doesn't close the modern window

[Jerakin]

I have a window that I load with

def main():
    app = QtWidgets.QApplication(sys.argv)  # Create an instance of QtWidgets.QApplication
    win = MainWindow()  # Create an instance of our class
    qtmodern.styles.dark(app)
    mw = qtmodern.windows.ModernWindow(win)
    mw.show()
    sys.exit(app.exec_())

When I in MainWindow() call self.close it leave a window behind and doesn't fully close the app.