Hey Boris,
What version of Keyboard Maestro?
kill and killall should both work on Catalina, although I can't test this personally. I'm still running Mojave on my old hardware.
I suspect you have not enabled all of the macOS permissions the Terminal needs – such as Accessibility, Full-Disk-Access, and Automation.
Catalina's permissions can be very problematic to set. They may look set and still not work, so it's a good idea to toggle them a couple of times.
If all else fails with permissions then the tccutil may help:
How to fix macOS Accessibility permission when an app can’t be enabled | Macworld
In the meantime I suggest you turn OFF Keyboard Maestro's app-switcher macro (search in the editor in the All Macros macro-group.
Then reboot your system.
This problem is not one I've heard of before, but I haven't paid close attention to Catalina issues – since I'l bounce to Monterey when I upgrade my hardware.
Oh, one thing you might try is cycling through your windows using Control-F4. If you have a hidden window in the mix that should reveal it.
Good luck.
-Chris
Force-Quitting Keyboard Maestro: The KM Editor Won't Open on macOS El Capitan