I've set Opera to allow empty workspace which should not close the window when the last tab is closed. As closing the window in MacOS doesn't close the application, as does in Windows, maybe this configuration is ignored in MacOS, is it?
This sadly seems to be not available on OSX. You can work around it by pinning a speed dial tab:
As this is not closable via Cmd-W, it will prevent Opera from closing the window on the last tab. I use this for full screen browsing.