Reference: https://askubuntu.com/a/29952
Normal keys are forwarded over the ssh session, so none of those will work. Instead, use the escape sequences. To kill the current session hit subsequently Enter ↵, ~, ..
More of these escape sequences can be listed with Enter ↵, ~, ?:
Supported escape sequences:
~. - terminate session
~B - send a BREAK to the remote system
~R - Request rekey (SSH protocol 2 only)
~# - list forwarded connections
~? - this message
~~ - send the escape character by typing it twice
(Note that escapes are only recognized immediately after newline.) You can close the list of Escape sequences by hitting enter.
Notice that because hitting ~~ causes ssh to send the ~ instead of
intercepting it, you can address N nested ssh connections by hitting ~
N times. (This only applies to s that directly follow an enter.) That is to say that enter~~~~. terminates an ssh session 5 layers deep and
keeps the other 4 intact.