After trying, and failing, by using various commands like "Bye", "End", "Good Bye", "Go to Lockscreen", "Lockscreen", "Go to sleep", "Sleep", "End program", "End of line"*, "Terminate", "Terminate program", "Kill process", "End process", "Go away", and all of the above and more with various expletives I finally came across the magic one!
"Never mind"
After you have use Cortana for, whatever, just say "Hey Cortana" again and then "Never mind" and you will be back to the lock screen!
Yay!
*Interestingly Cortana will
*Extra points for movie reference ;)