Just use the same session name in PuTTY and in WinSCP.
WinSCP will then open that PuTTY session. It won't export its settings to PuTTY.
See https://winscp.net/eng/docs/integration_putty#session_configuration

It will be a great help if I could bind putty session name to winscp connection in "Advanced" properties.
This way I will not have to recreate all the tunnels from scratch when opening ssh from WinSCP.

I mean - when the user clicks on "Open SSH", putty session name saved for that specific connection (if any) is rad and automatically fed to "putty.exe -load"