Sure it makes sense... I just don't think there is a way to do this.
However go to Settings > Personalization > Lock screen > increase your screen time out limit. Say 15 minutes. Now tap "Sign-in options" > If you've been away, when should Windows require you to sign in again should be set to "Every Time."
Now the screen doesn't time out on you, but every time you tap the power button or double tap the nav bar to put the phone to sleep it will require a PIN to get back in.
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