Your window manager may trap the key combination you want to enter in Bochs guest OS, for example ctrl-alt-del. Here is a work-around:
press and hold CTRL+ALT, move your mouse cursor outside of the Bochs window. Release them, move the cursor back in the Bochs window and press DEL.
This should work for any key combination.
You can also define one user key combination (up to three keys from "alt", "bksp", "ctrl", "del", "esc", "f1", "f4", "tab", "win") in your configuration file. This key combination is sent to the guest os when you press the user short-cut gui button.