Pressing escape on an open MUI native select component will also close the dialog it is rendered in when running VoiceOver Screen Reader

• The issue is present in the latest release.
• I have searched the issues of this repository and believe that this is not a duplicate.

Current Behavior 😯

Version: 4.9.2
Bug type: Accessibility
Browsers: Chrome & Safari
Screen Reader: VoiceOver

For an MUI native Select component that is rendered in an MUI Dialog component, pressing the 'escape' key to close the Select component also closes the dialog when the VoiceOver screenreader is running.

Expected Behavior 🤔

• Pressing the 'escape' key when the Select component is displaying it's list of options should only close the Select component.
• Dialog should remain open.
• Select component should maintain focus when closed.

Steps to Reproduce 🕹

Steps:

1. Go to https://codesandbox.io/s/material-ui-dialog-close-by-esc-forked-z7ow7?file=/src/TestDialog.js
2. Enable VoiceOver screen reader (Cmd + F5 on Mac)
3. Click the button to open the dialog and tab navigate to the native Select component
4. Use the 'down' key to display the list of options
5. Press the 'escape' key
6. Select and dialog should close

Context 🔦

Screen reader users filling a form on an MUI dialog will have all progress lost and will have to fill the form again.

Your Environment 🌎

OS: Mac Big Sur
Browsers: Chrome & Safari
Screen Reader: VoiceOver

  Don't forget to mention which browser you used.
  Output from `npx @material-ui/envinfo` goes here.

Start with the linked CodeSandbox reproduction and inspect the MUI Select and Dialog components involved in the VoiceOver Escape flow. Confirm that Escape closes only the Select, leaves the Dialog open, and restores Select focus; verify the behavior in Chrome and Safari with VoiceOver.