Yeah there is a way you can do that.
However, it would require you to have cookies. What you could do is keep a running total of all the session information in a database table, then have the cookie write to the client's machine the ID number (encrypted of course!) of the "session lookup" table. When they come back to your site your script looks for a cookie variable and if present then just load all the session information from the database table.
MAJOR FLAWS:
1.) Your database will never have a deletion method. So something time based would have to be setup. And that could lead to orphan entries.
2.) I personally never let any cookies be set on my machine at home. So people like myself would be useless to your site. Because it would not keep my stuff.
3.) You would have to have a table big enough to contain all your SESSION variables in them. So the more session variables you have the larger the table will be and the harder it is on the database. Examples would be like: SESSION_VAR_1, SESSION_VAR_2, ect... That could be costly to database speed and search time.
Try to just have it write cookies for all your "Session" information and see how that goes. My way would work but as you see has too many holes and flaws in it to be practical. Just letting you know. I tried this method at work and it worked fine, just didn't like the performance.
Take it easy,
Chad