You only have to leave the disc open when you burn the audio session.
Burn in "Session At Once" mode.
1st, burn the audio data and then the data track in mode2/XA.
Oh, don't ask me why, but in Nero I add this data track by selecting "No multisession".
Of course, you can't burn the audio track with a limited software like Nero.
When you try to burn a CUE image in Nero, you can't disable "Finalize CD" option.
You have to use good software, like Feurio
Feurio CD-Manager -> Project -> Create project from cuesheet.
Press "Burn" and Feurio CD-Writer will be opened: press "More Details" and disable "Close (finalize) CD".