I don’t think that this is possible, because if the session of your original CD, you already have copied, was closed, the copy session will be closed also, no matter which settings you use in CloneCD.
This setting “Always close last session” only means, that the CD will be closed, no matter if the original CD was open or not.
Besides that, you would have to create a multisession disc, and CloneCD only writes RAW modes from image files.
And each image file contains its own file system, so you cannot simply record one image after another (ok, you can, but try to read all the contents without extra tools ;-)), but you have to import the previous track (or better: its file system).
But to make a long story short, you can try Cdrwin.
If your CD, you wanna copy isn’t specially protected (Subchannels, crazy TOC, bad Sectors, etc.) you can write your images as a regular multisession CD.