I don't know what cause of this.
I was just playing a quest normally, using a game controller. Then when I quit the quest and press ESC for the menu, it seems the ESC does not work.
EDIT: Found it. I was pressing Alt+F4 while on the Select screen to try to close the program (doesn't close it, only during gameplay without a prompt). That is why, until I press other keys, like the arrow keys.