Your window manager may trap the key combination you want to enter in Bochs guest OS, for example control+alt+delete. Here is a work-around:
Press and hold control+alt, move your mouse cursor outside of the Bochs window. Release them, move the cursor back in the Bochs window and press delete.
This should work for any key combination.
If you need one key combination frequently, set it up as user key combination with the keyboard option in your configuration file. This key combination is sent to the guest OS when you press the user button in the headerbar. Depending on the used display_library option, it may even be possible to edit the shortcut before sending it.