Do you use speed dials??? I save multiple sets of tabs as speed dials if I haven't finished with them to cut down on memory usage.
Then I open a new tab or 2, and close all the unwanteds. Next time I open Opera I only have the last tabs up.
I can then open what I want from speed dials. Can even edit, rename, add tabs within each Speed Dial box and give the actual box a name. Every week or so if I haven't been back to use those speed dial boxes I delete the lot, or take the most important ones and add to a specific set so they are all together. eg. one will have all shopping sites, one computer troubleshooting, one online troubleshooting, emails etc. I also drag the most important speed dials to specific spots on the grid.
If not I don't quite understand whether you are closing all the tabs before shutting down Opera or not. I presume you have also tried clearing you cache - though a lot of this is also done by the Cleaning or Security programs I am using.