User Configuration > Administrative Templates > Microsoft Project 2016 > Project Options > General > General options for Microsoft Project
User
HKCU\software\policies\microsoft\office\16.0\ms project\options\general
Upon starting Project, automatically opens the last used project file. If you enable this setting, the last file that the user had open automatically re-opens when they start Project. If you disable or do not configure this setting, the user's default setting is used.