Quote from the Reference:
»5Do one or more of the following:
•To draw a straight segment, position the pointer where you want the first straight segment to end, and click. Continue clicking to set endpoints for subsequent segments.
•To draw a straight line at a multiple of 45°, hold down Shift as you move to click the next segment.
•To draw a freehand segment, hold down Alt (Windows) or Option (Mac OS), and drag. When you finish, release Alt or Option and the mouse button.
•To erase recently drawn straight segments, press the Delete key.«
I see no mention of an ability to restore the deleted segments so I would recommend considering working with the Pen Tool instead of the Polygonal Lasso Tool.