Hi Windpool, the moment you realize what has happened, try recovering the closed window using the History menu. Either:

• "3-bar" menu button > History > Recently Closed Windows
• "Library" toolbar button > History > Recently Closed Windows
• (menu bar) History > Recently Closed Windows

There's also a keyboard shortcut: Ctrl+Shift+N (different than Chrome).

By default, Firefox remembers up to 3 recently closed regular windows, but zero recently closed private windows.