An overlay that suspends the rest of the interface until it is dealt with, trapping focus inside itself and dimming the page behind it.
Put the destructive confirm in a modal so the choice can’t be missed, and let both Escape and a backdrop click cancel it.
A modal stops the world, so save it for the moments that deserve to be stopped for. Most modals are interruptions in uniform: a cookie notice, a newsletter beg, a setting that wanted a page. Two things are non-negotiable: trap focus on open and restore it on close, and offer an obvious way out. When in doubt, ask whether the task truly can’t continue underneath. Often it can, and then you wanted a progressive disclosure, not a wall.