When your Sansa's battery is drained, the thing simply can't go any more. It has no chance to write anything to the disk.
It's a
very bad idea to let lithium ion batteries go below 10%. Letting it do so can actually shorten the useful life of the battery. In any case, 10+ hour marathons are also stressful for it.
Your best bet is to manually bookmark or shut down every so often; or at least before the battery dies. It's easier to pick up from the middle than from the beginning.
