DialogTest.java

import javax.swing.*;
import java.awt.*;
import java.awt.event.WindowAdapter;
import java.awt.event.WindowEvent;
import java.lang.reflect.InvocationTargetException;

public class DialogTest {
    public static void main(String[] args) throws InterruptedException, InvocationTargetException {
        final JDialog dialog = new JDialog((Frame)null,
                "Close me",
                true);
        dialog.setSize(200, 100);
        dialog.addWindowListener(new WindowAdapter() {
            public void windowClosing(WindowEvent we) {
                JOptionPane.showMessageDialog(null, "Are you sure?");
                // Uncomment to fix issue
//                try {
//                    Thread.sleep(500);
//                } catch (InterruptedException ex) {
//                    throw new RuntimeException(ex);
//                }
            }
        });
        SwingUtilities.invokeAndWait(() -> dialog.setVisible(true));
    }
}