Probably discussed elsewhere but you can do this if you jailbreak your Kindle, and either install one of the screensaver hacks or install KOReader and set the last page as your screensaver. A good guide to get started is at https://kindlemodding.org/

I've always wanted it to work this way. However it'd only work if you had a case with the magnetic cover to turn on the device. Otherwise someone would pick up their un-cased kindle with the page lock screen, start reading, and then get confused when they tried to turn the page and nothing happened — the device would still be off!