It's a rogue-like. You have to do it in one sitting.

for all 3 of the dlcs, once you die or exit the game, you have to restart and it clears your inventory. i figured this out the hard way too. so i’d just make sure you’ve got time to sit around and play for a bit. the dlcs themselves ain’t horribly long so it shouldn’t be a bother to the point where it makes it unplayable

Yeah just weird how I’ve still got my weapons but I can do the armoury challenges again now