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I believe (judging from my TP) that when it doesn't have enough battery to keep the radio on it goes into airplane mode. At least mine does that and a few seconds later it turns off. Also if I try turning the radio back on it will turn off. I'm sure if you switch batteries before letting the other one reach that point you'll stop having to switch modes.

EDIT: Actually I'm not sure, since I've never tried that. But please try and let me know if that helped you. I don't know of any setting to prevent this; sorry.