Just shutting Vegas down WITHOUT saving when asked would have restored you to whatever the last saved version was. That in effect would have undone all the damage of the undo, but you probably knew that.

There are three types of saves in Vegas. When you save under such and such file name. An automatic backup that Vegas can be set to do, somewhere in the preferences and a third hidden save that Vegas does without asking. This only shows up if you have a crash or hang, otherwise if you exit normally this temp file gets trashed. Each save has a different file extension. Normally you only work with the regular VEG file.

I've done something for years in just about any application that involves changing a file. Make frequent generation files. This protects me from myself. Every 5-10 minutes I save. Each time I just change the file letter. My first save would be something like myfile-A, then myfile-B and so on. This way I'll never lose more than a few minutes work. Since the VEG files created are tiny they hardy take up any space. Once the project is done I just delete all the intermediate VEG files.