Yes, this is annoying but I use a workaround for this.
I always start Cubase/Nuendo with a blank project than open all other loaded projects that I’m actually working on. Whenever I close any project, I don’t need to think about which will be activated next, the blank project gets activated automatically in a second, then I can choose which other loaded project I want to activate.
It always defaults to the first blank project.
This can save you a lot of time.