Question

How would I override a Dialog‘s onBackPressed to close the dialog as well as calling finish() on the Activity it is located in?

Answer 1

You can use setOnCancelListener:

dialog.setOnCancelListener(new DialogInterface.OnCancelListener()
{
    @Override
    public void onCancel(DialogInterface dialog)
    {
         MyActivity.this.finish();
    }
});

You need to finish only your activity. Dialog will be dismissed automatically.