If I understand you correctly, you have chosen issue type "bug", during investigation found out that it's not a bug and want to close the issue? You need to add a resolution that describes the issue as"not a bug".
Se following page for more information how to add resolutions in JIRA:
I assume that you have an issue type of bug, and you have an issue that has been logged as a bug and you want to change its type?
If so, then you may be able to edit the field that says "bug" directly, depending on your configuration. If you don't have that option, then you will need to use "move issue", which will ask you which project and issue type to move it to (you can keep the same project)
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