macOS has a feature whereby when you close an app you can choose to "Quit and Keep Windows" if you hold down Alt + Cmd + Q. This makes it quicker and easier to resume working on multiple files.

Currently, Adobe XD doesn't appear to support this feature, as it ignores this command even though the application UI includes it. (Click the XD menu and hold down Alt).

Note: the default preference for this behavior is controlled in macOS System Preferences, under General > Close windows when quitting an app. So if you have this unchecked, the Alt + Cmd + Q command becomes "Quit and Close All Windows", i.e. the opposite behavior.