The Windows Phone emulator 'simulates' you an absolutely fresh out of the box Windows Phone device. It is the best way to make sure that you app will run on any device. In fact this emulator is a Hyper-V machnine that quickly installs itsself everytime you launch it and deletes all the data everytime you close it.
Unfortunately there is no way to restore a previous state.
If you need specific data and settings across different debug sessions you will need to keep the emulator opened.