This is almost certainly impossible.
You could hide the form's title bar and re-create it from scratch, but this is going to take a lot of effort.
Alternatively, you could use a third-party library to give your app an Office-style ribbon UI, making sure that library gives you the ability to change title bar button tooltips.
Edit: You could hide the form's title bar close button, put an ordinary button on the form, put the word "Close" on the button, and set the button's tooltip to whatever you wanted.
(I don't think any of these suggestions are practical...)
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