Issue: The problem is located at the file
SDL.dll which is common in OpenGL games.
Details: Amnesia uses SDL.dll v1.2.14.0 which due to a bug does not let the mouse get away from the game and so it is stuck at the left corner when ALT-Tab is pressed.
Solution: Copy SDL.dll v1.2.15.0, which adds a proper ALT-Tab fix, and overwrite the original SDL.dll v1.2.14.0.
Download: You need
SDL.dll v1.2.15.0 file which is attached to this post.
Disclaimer: Frictional Games are not the developers of SDL.dll library.