Note that an "exit button" is not allowed for iOS apps submitted to the App Store. Any such app will be rejected.
It's common, though, for Android apps.
You could write a rhoelements app to do this if you want to, but I would suggest you look at appcenter if you haven't already. It should provide all of the lockdown you need right out of the box, and it is a free download for a Motorola CE or Win Mobile device. You could set it up to just show the user 2 icons, one for telnet, and one for your web app, and it also has the admin mode that would let you exit with a password.
Take a look on the support site to find the right version for whatever device you are targeting.
If I haven't used AppCenter, it's because when I launch RhoElement I can see the AppCenter bar at the bottom of the screen. ( I have set AppCenter in the registry for be in full screen. It's works with telnetCE but not with RhoElements)
Finally I have find how I can use RunApplication API
I have missed t in my html files this line:
so now I just need to Add a button for return to the OS and with a password
It sounds like you are close to a solution that will work for you.
Just for the sake of anyone else that come across this post, there are a couple of options in appcenter that should help with the issue you saw. The one that seems to work for me is "Hide all taskbars / set work area". You set this up in the options (2) tab when setting up options for the actual app that you are launching (your rhoelements app). I tried this with build 2018 of appcenter on a CE MC9190, and it seemed to work for me.