> is this standard Magento behaviour?

No, this is due to some kind of AJAX navigation, added by an extension or your theme. You say, "the url does not change", this means the pages are loaded in the background and the site is only partially refreshed without changing the URL.

> Can this be changed, so it will take the customer back to the last viewed page?

A *good* AJAX navigation would make use of the HTML5 history API or at least this technique: 
https://stackoverflow.com/questions/3009380/whats-the-shebang-hashbang-in-facebook-and-new-twitter-urls-for

But yours obviously doesn't, so it cannot be changed, except if you replace the navigation module.