You can store the address of the last selected cell as a string. So, asking for an object variable might be misleading. Either way, the easiest way is to declare a public variable (for example PrevCell As String, or As Range if you prefer or need the value) in each of your worksheets' code and set that variable in each sheet's Selection_Change event procedure.
Private Sub Worksheet_SelectionChange(ByVal Target As Range)
PrevCell = Target.Cells(1) ' or .Address
End Sub
Since you may find it useful to avoid recording selections of multiple cells my above procedure just records the address of the first cell which avoid errors that often crop up when a copy/paste action was performed on a sheet.
Now, when you insert a new sheet, don't use the Add method. Instead copy an existing sheet and clean it up the way you want. In this way the new sheet will already have the variable and the code that sets it.
I can't imagine your having need of the previous cell in any circumstance other than when the sheet is activated, but if my imagination is insufficient in this case, you might declare a global array with an element for each sheet, using the sheets' CodeName property for identification. This array would be set by the Selection_Change event procedure as demonstrated above, but when a sheet which isn't known to the array tries to register its latest selection it must be a new sheet and the array is extended to include it. The code to do so is inherited from other sheets by the same method described above.