Safari allows this. Firefox has it too. But why does Brave delete all of my open private tabs when I close the app? It is very irritating. I just want to browse without Brave keeping history and cookie data on the device, while keeping my open tabs until I choose to delete them.
There is an option under brave shields and privacy that says close tabs on exit. (more towards bottom of page) you can try toggling that off (if it is on).