When I have multiple windows open and I close one, photoshop opens the last one.

When you have multiple open documents Photoshop and you close a document that document's  window or Tab should be removed frie Photoshop that is all that should be done. All other open document states should not change but one should become Photoshop Active document.  Its window or tab name should be highlighted as Photoshop active document. Photoshop should not open any new next  document window. If the Close was done by an Automated Photoshop Batch process or a batching script it is likely the batching process will open the next file in the batch file list.  When Photoshop open a new document it become the active Photoshop document. At Tab Or Windows will be opened fot the mew open document.  If the last close in a batch  was for the last document in the batch file list the batch process will end and Photoshop will switch the active document to one of the open document opened previous to starting the batch process or there there will  no open documents if the batch process also process open documents in Photoshop or the were no open document when you started the batch.