I recently accidentally closed an edit review window without taking any action on it. Since I wanted to take action (I was using another browser tab to confirm details in the edit) it was frustrating to have it disappear from the edit queue.
I can understand how this would be frustrating. As far as I know the only time SE saves a draft is like when you have started writing a question or answer, but it only saves it a draft for like 1 or 2 posts per site.
There are no drafts that are saved for editing posts whether in the review queues or on the actual posts. Most suggested edits that need to be improved by editing in the review queue normally don't take too long. Also, there are usually many different people doing reviews so they get handled pretty quickly.
As you've tested, this happens in any queue where if you close out the window/tab of the review you were given, you won't be able to go back in the queue and review it unless you have a direct link to that review (and of course the review still hasn't been completed by other users).
Now, if you'd want a list of links to recent reviews that have been given to you, I'd say they could do that, but I doubt they will since they have denied previous related requests, like here. Or maybe you'd be fine with just not removing unacted upon reviews from the queue if they are still active? I don't think that'd be too hard to implement, but don't think it'd be very worthwhile to implement it for reasons below.
I think most people have had something similar happen to them. In this case, I don't think it's worth developer time to create this feature since it's a pretty rare occurrence for most users and because reviews usually get completed quickly, there's not much real point in having this feature.
So what can you do? Be extra careful when spending any long amount of time editing a post as to not close the window. Go/search for that post using the search feature or google search. Edit that post directly instead of inside the queue.
I suggest a way of seeing a list of recent suggested edits, that you may have skipped but are still active, and thus you are still entitled to take action on the suggested edit.
You can already view reviews you have skipped.
Click on Review
Click on recent reviews (of the queue you want to see recent reviews of)
Click on history
Scroll down and click on show skipped reviews
Now you will see a list of your reviews in that queue. If you don't already have the checkbox at the bottom selected (show skipped reviews) then checkmark it to see your skipped reviews as well.
I was trying to draw a down arrow in the pic but it started looking more like a flower so I finished it off