Close a game/app on Xbox One
Yes, it's perfectly possible to do this (it would be weird if you couldn't, really). From the Xbox Support pages:
If you encounter a problem with an Xbox One app or game, or if you just want to switch to a different one, it’s easy to close the app or game you’re using. Here’s how:
To return to the Home screen, press the Xbox button to open the guide, and then select Home. Verify that the big application tile is highlighted, and then press the Menu button on your controller.
Select Quit.