Hi SS. I'm Greg, awarded MVP for eleven years, Volunteer Moderator, and Independent Advisor here to help you until this is resolved.
The closest File Explorer comes is Quick Access which lists the most recently opened files in order. But you have to enable it in the View tab > Options > Change Folder and Search Options > General Tab > Open File Explorer to: Quick Access > Apply > OK.
Then File Explorer should open to the most recent file at the top of the list, underneath the most recent Folders.
I hope it helps.