I was having the same problem, with a large file that was causing my Preview to open it everytime and slow it down, and it wouldn't close the **** file/window. The fact is that it was opening the file even if it was deleted. But it was opening a temporary file somewhere, somehow.
I don't know if that's available in previous version os macOS, but I'm using Lion. Here's what I did:
1. Right-click on the icon by the side of the title of the window/document you wish to close
2. You can see now the path of that file - click on the folder right beneath the file name
3. That will take you the where the file is - delete the file.
4. Go back to preview and close the window.
To me this worked instantly. It wasn't closing before and now it did because the file really didn't exist anymore.
Cheers
Guz