I have the exact same problem and it's been driving me crazy. It's been happening since one of the updates in iOS 8.X.
I have the "Unread" folder at the top of my Mail app, and it seems to happen when I close the app and reopen it after viewing that "Unread" folder. When I open the mail app it shows "No Message Selected", so every single time I open it, I have to go to the previous window in order to view emails.
First attempt: I tried to delete all 7 email accounts I had setup on there. Then I added a random one back, and it still happened. It doesn't matter the type of the email account.
Second attempt: I completely erased my phone with no data on it except the default iOS 8.4 that just came out. The problem still happens.