Roller Coaster Tycoon is oddly... resistant to alt+tabbing. By which I mean after switching out of the game, everything outside of a 1024x768 area becomes unclickable until I ctrl+alt+del to open the task manager.
Windowed mode isn't much better.
It's not an issue specific to the GOG version, either -- happened with my old disc copy too (got it out of a cereal box years ago
).