I believe this macro by @ccstone does exactly what you want:
This is nostalgic. Recalling Finder "sessions" was one of the main reasons I started using Keyboard Maestro to begin with, and looking for that macro/thread was one of my first ventures into this forum. Christopher mentions the macro is slow and perhaps that was the case on macOS Monterey, but it runs fast on my system (Sonoma, M1 Ultra): a set of 2 windows with 5 tabs each takes about 2.5 seconds to load.