Currently when you open a file and you want to close immediately there is a question dialog if the user want to save changes. But there were no changes made.
When you open a file, Audacity wants to start a new project. It’s not asking if you want to save changes to the file; it’s asking if you want to save the changes to your new project.
Nevertheless the question in such case could be spared. Opening project and opening a file takes the same amount of time and clicks. There is no gain there, but there is a loss – user has to click every time to confirm his decision when closing.
You mean the user has to confirm his indecision. 
I am lost – what do you mean? (*)
Example: you have to merge 200 files, in that way you merge first 10 as 1, next ten as second, and so on. How do you do this? Copy&paste? Then you have to click 190 times without any reason.
Bottom line is – this question is no gain (in the case described previously), quite vice versa, thus → this wish.
(*) and I don’t see anything wrong in opening file, listening to it, realizing it is not the one, and closing it.