Unfortunately, Alexa can't do this right now. This is somewhat disadvantageous, especially if you have had Alexa shuffle music from a favorite artist, and you want to go back to a song you hadn't heard before. What was its name? If you weren't near the screen, or listening through a dot or echo, you can't get back to it easily.
It turns out that the list of recently played Alexa songs is available on the Recently Played list in the Amazon Music app. It's a couple of levels down the tree and takes a bit of hunting, but it's there. I would suggest putting it in the Alexa app as well, either under Lists or under the Books, Music ... tab.