On macOS, the 'traffic light buttons', also known as the window control buttons are for controlling the window. If you close a window by pressing the red button, you end up discarding all open tabs. That behavior should be consistent across all browsers (I tested Orion, Safari, and Chrome while writing this post), and, while unintuitive to people coming from Windows or Linux, it is by design and I don't think Orion should attempt to reinvent the wheel here.
On a related note, I complained about the same thing nearly two years ago as it seemed unintuitive to me as well. #4715