I'm closing this issue as I believe that the request of the OP, i.e. automatically saving untitled/new documents, is resolved by #3911.
There was also some discussion related to "hot exit" which isn't implemented right now and which would probably require much more work and rewrite Geany's session management - I believe this one can be discussed further in a dedicated issue, e.g. https://github.com/geany/geany/issues/3733