Yes, this is possible. In fact, by default Sublime will remember what files you had open when you quit it and restore back to that state when you restart, so if you had multiple Python files open, you can quit and restart Sublime to keep working.
Note however that closing a window (say by using the controls in the window caption) is not the same as quitting Sublime; closing a window will cause the saved state for that window to be lost without taking further steps.
For something like what you’re asking for, you may want to be using Projects; that would allow you to save the state of a particular window by name, and then recall it at any point in the future. There’s documentation on projects available here: https://www.sublimetext.com/docs/projects.html
This video also discusses Projects and Workspaces and how to use them in Sublime as well: