[BRX]

Not as far as I can see. Personally I think it's too special a use case and doesn't warrant more saving data per song and setlist into the database.
But if you practise and open the right pages beforehand anyway you could use the setting remember the last opened page in the settings. This works in/from setlists as well and opens the last viewed page of a song if you don't page forward to the next item in the setlist but go back from the song to the setlist screen and choose the next song from there.