I have multiple ST windows open at the same time, each of which has multiple files opened.

If I accidentally close a window (pressing X in the upper right corner), I would really like to automatically restore the session I had in that particular window.

I believe you can get around this by using a sublime project | workspace. This will guarentee that the the window’s session is remembered when you close it. I guess you could have a plugin keep track of any and all open files in all windows at all times, and then restore the last closed one on command. I feel like putting things into a project seems easier…