Is anyone familiar with gum?

I have a simple:

while true; do
    CHOICE=$(gum choose "one" "two" "three")
    case "$CHOICE" in
        "one")
            <do something>
        "two")
            <do something>
        "three")
            <do something>
    esac
done

If the user hits ESC, gum displays "nothing selected" and exits.

Is there a way to disable the "nothing selected"? I tried redirecting 2>/dev/null but it suppresses the entire menu. I also tried adding $'\x1b' to the case, but it did nothing.

I also tried adding:

    if [ -z "$CHOICE" ]; then
        exit 0
    fi

directly after CHOICE=$(gum choose...).

No dice.