Thats part of the equation, but the OP wants to open all the same documents in the same order at a later date. To my knowledge it can not be done.
Odds are this would be implemented about the same time they add page support, since they are so similar.
Right, something that can remember the order the files were closed and open them that way is something I'm not aware of either.
Maybe it's something that can be scripted.
You can re-open images in a certain order by Shift-clicking them in the order you want in the File > Open dialog.
If you Shift-click on 3.psd, 2.psd, and 1.psd, then click Open,for example, they will open in that order, left to right in one click.
Of course it's best to keep those related files in one folder.
If the files are scattered about, Bridge has Collections and Smart Collections.
That's just a few ideas I can throw in.
All it would take is saving the document list to an xml or a comma(or tab) delimited text file.
I like your idea of creating a collection in bridge. That could (or should) make a work around.