Recently closed tabs are stored (in memory) for your convenience and are not retained once the private window is closed.

You can disable the recently closed tabs function, but this preference will affect all windows, regular and private:

(1) In a new tab, type or paste about:config in the address bar and press Enter/Return. Click the button promising to be careful or accepting the risk.

(2) In the search box above the list, type or paste sess and pause while the list is filtered

(3) Double-click the browser.sessionstore.max_tabs_undo preference and reduce the value from 10 to 0 and click OK

Note: I have not tested that today because I don't want to wipe my session history, but as far as I know, it should work.

Actually, this thread is a continuation of an earlier one, and we should all continue over there:

https://support.mozilla.org/questions/1206339