Datasets in Prodigy are what annotations are saved to – to load in data, you just stream it in from a directory, a file or a Python script. So you can set up your data like I described above and stream in page by page from multiple PDFs in order, however you like. That's a pretty standard use case.
I'm not 100% sure I understand what the problem is or what's still missing. If you stream in your pages in order, the annotator can work on them and if they need to go back to a previous page, they can go back, check something or make a correction, and then move on.
The history shows the most recently edited or created annotations, in chronological order. This is typically what's expected from the annotation history – if it wasn't showing you the annotations in "historical" order, it would be pretty confusing. The number of items kept in the history are examples that haven't yet been sent back to the server – so making the history longer would mean delaying sending examples back (see my comment here for details).