Is your reasoning understandable? Sure.
Is it against the way every other similar dialog is formulated? You bet it is.

Going by your reasoning, you could make all text upside down. Users can probably read it anyway if they put some thought into it, right?
Why would you do it is the question.

My view is: You asked WinSCP to quit, you do not really have a reason to expect WinSCP will save anything – there are no data to be lost – it's only a workspace! So you expect that "Yes" means "Yes, do quit". WinSCP only offers you additional (not really expected) option to save your workspace. If you do not notice this, nothing happens, you didn't lose anything.

Point is, users have the subconscious association that "yes" = "save"
Is there a specific reason to have it backwards here?

Thanks for your feedback. Though, I do not think it's the same situation.
For example in an editor, it's unlikely you want to close without saving.
While in this case, you typically do not care. If you do care, you enable automatic workspace saving and it will be saved automatically every time.

When every other app in existence is closed with unsaved work, the confirmation dialog is in the form:

Do you want to save your changes?
Yes / No / Cancel

"Yes" meaning you won't lose your work.

In WinSCP it's the contrary

Do you want to quit without saving?

"Yes" = lose changes