Once the holiday prompt is played, it will route to the destination where the caller would have gone to if it was a holiday.
So if it is going to your queue, you will need to adjust your holiday destination within the queue
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If you have your Holiday route to accept anyway, and no agents logged in to the queue due to it being a holiday then it is normal for it to go to the Destination if no answer. Just adjuest your holiday route on the bottom right to go to End Call. the holiday prompt will play and the call will be dropped. You could for example send it to a voicemail box for example or wherever you need it to go.