I have this same problem.
(running dual monitor setup, extended desktop, nvidia graphics card)
1. I bring up Xenonauts in steam library.
2. Click "play", loading the "Xenonaut Launcher"
3. Ensure the "Run in Window" is checked and 1920x1080 resolution is selected, click "Play Xenonauts"
4. Xenonauts launches but in what seems to be fullscreen mode, in window you can usually freely move your cursor seamlessly in and out of the window.