how to write a closure where I am competing the event parameter in the response
Use a closure either around the whole loop body (as @dandavis) demonstrated), or use it only around the handler:
…
Mousetrap.bind(
[ 'command+' + iKey,
'command+' + iKeyUpper,
'ctrl+' + iKey,
'ctrl+' + iKeyUpper],
(function(_i) { // of course you can use the name `i` again
return function( e ) {
console.log( "you clicked: " + _i );
};
})(i) // and pass in the to-be-preserved values
);