To add to Fletcher Sandbeck's comments, a subitem under the "Reopen documents that were open on last quit" preference setting is "Restore unsaved changes". From the BBEdit User Manual:
"When this option is on, BBEdit will preserve the contents of any unsaved document contents when you quit (including untitled documents) and restore those documents the next time you launch it. If you prefer the traditional Quit behavior, turn this option off."
Given the window titles include "untitled" in the title you most likely have the "Restore unsaved changes" option turned on and have created but never saved two new text documents and one new shell worksheet.
If there's nothing in the "untitled XXXX" windows you want to save just click on the window close control and when the "Save changes to "untitled XXXX" before closing?" dialog comes up just click on the "Don't Save" button. Do that and those specific untitled windows won't show up anymore when you launch BBEdit.