Funny, that (also non-standard) keyboard shortcut is not shown in the menu anywhere and thus can't easily be remapped using the standard macOS keyboard preferences. I don't know if my Cmd+Shift+N private window remapping is failing due to the conflict, or if it's Firefox just not knowing about the remapping. But either way, it appears I can't easily remap Firefox's reopen last closed window to Cmd+Shift+T like other macOS browsers use.