Like KeshavaGN, I suspect a 3rd party app behind this. But neither your Nova Launcher, nor WhatsApp itself. To isolate the culprit, I suggest the following steps:
- Check with e.g. Appbrain Ad Detector (or TrustGO, which you chose) for apps carrying ad modules. These might include your culprit – but on a second look, that's not a typical "ad network message". Anyhow, note them down.
- See my answer here for how to check for apps having certain permissions. As described there, it's a "full-screen ad" here as well, so the SYSTEM_ALERT_WINDOW permission might be involved. As it happens always on closing WhatsApp, also check for GET_TASKS (allows an app to check which apps are running) and GET_TOP_ACTIVITY_INFO (details on the app running in foreground). Again, make a note on matches.
- Keep an eye on what apps are advertized. Try finding them at Play (better not by clicking on the ad, but separately – though the URL behind the ad might reveal more). If it's always the same dev behind it, check whether you have an app from him running on your device. If that's already on one of your lists from above, you most likely have found your culprit.
- Hard to realize, but possible while on some WiFi you control the router as well: If that popup is open, cut the Internet connection behind your router (i.e. your device is still using WiFi, but cannot reach the "open Internet"). Now it shouldn't be too risky tapping the ad (hopefully). I'd expect it opening your browser, which now cannot resolve the page – but you should see the URL in the browser's address bar. This might help to further narrow down suspects, if it is related to any of the apps you're using.
Finally, check your lists created during these four steps, and watch out for matches. If there's an app on list 2+3 (and optionally more), that's a pretty certain candidate. It gets even more likely if it's also on at least one of the other lists. Continue as described in the answer I've linked with item #2.
If you found out the responsible app, additionally to the steps described in the other answer, it would be a good idea to report your finding here as well ;)