Can you connect an estop to x, y, z axis?

Sort of, you would usually either connect it to the BOB as an input which would then tell Mach to stop everything or you can setup a full safety circuit which controls power to the drives and also tells Mach to stop everything via the BOB input.

When connected to the BOB and triggered, Mach will drop the enable outputs (if used) on the drives which will stop any motion, but some say it is safer to keep the drives energised as steppers then act as brakes and will lock as Mach stops sending pulses out.