Hi kalehacell thank you for taking the time to report this bug!
I am unable to reproduce this issue. Could you tell me which build of Orion you're using?
Also, do you mean the private tabs are lost between when closing and re-opening the, or even within the same session of using the app?
If you can post a screen-capture video of the issue this would be immensly valuabe!
Thank you for your help in making Orion a better browser!