Ok thanks for your answer! I would like to point out though that it is possible to do it. What I did was that I added this code at the end of my child theme’s functions.php file:

// Add close window functionality
function add_custom_script(){
?>
<script>
(function($){
    $(window).load(function() {
    	$('.close-window .avia-button').on('click', function(){
				 window.open('', '_self', '');
                 window.close();
        });
    });
})(jQuery);
</script>
<?php
}
add_action('wp_footer', 'add_custom_script');

Then I added my button through the visual editor and added the close-window css class into the custom CSS field.

Then in my single.php template file I used the do_shortcode wordpress function and I copied the shortcode created from the visual editor and pasted like this escaping the ‘ character:

<?php echo do_shortcode('[av_button label=\'Close window\' link=\'manually\' link_target=\'\' size=\'small\' position=\'center\' icon_select=\'yes\' icon_hover=\'aviaTBicon_hover\' icon=\'ue813\' font=\'entypo-fontello\' color=\'theme-color\' custom_bg=\'#444444\' custom_font=\'#ffffff\' custom_class=\'close-window\']'); ?>

Thanks again for your help!