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Example: I'm playing a game and stop for a minute to send a message on WhatsApp. Lock the phone for a couple a minutes, and when I navigate through "frozen" apps and select the game (the game still has the last screen it had when it was minimized), it opens from the splash screen, reseted!

And it doesn't happen only with games. Even Facebook, Twitter, and other apps.

You can‘t change that, only the app developer can (by adding code to handle the unloading of the app and preserving the state). Most games don‘t, unfortunately.

This is actually a common misconception in iOS.

Apps are not "minimized": they are suspended while they're in the background (except in some cases, notably navigation and music apps). Further, resource taxing suspended apps (such as games) are often closed entirely shortly after being suspended so that iOS can reclaim the copious amounts of memory these apps often reserve.

The answer to this issue, as @nohillside mentioned, is that the developer needs to implement functionality to save the state of the game when it is suspended, then restore the suspended state when the app wakes up again.

This can be tricky for many applications, but especially games. So many games simply don't do it.

There is nothing that you can do as a user to change this functionality, as these constraints are enforced upon the game by the phone's iOS operating system, which is in turn constrained by the phone hardware.

From my experience, there was two occasions where apps doesn't keep running(or, in other words, shows splash screen when I launch it again).

First one is that the developer poorly, or even didn't implement suspending for the app. There were some apps that always quits when I press home button, or resets when it was on specific feature. (Although in recent app store I haven't seen one except for some public institution apps that have 1~2 average review)

Second one is hardware limitation - even though the developer properly implemented the suspension feature, iOS sometimes decide to quit it, for various reasons from lack of memory(this is actually major reason that earlier idevices didn't support app suspension on 3G/S era), battery time management.

For first reason, you can write a review on Appstore - it is one of the most impacting reasons for app development progress.

For second reason, well, it is kinda dumb solution but you can purchase a new hardware with more RAM, and it will reduce the possibility of suspended apps halted from iOS(And reduce time for app relaunch). Or, if you're not willing to do so, you can tell iOS to halt some unimportant apps by swiping the app's preview upwards in the multitasking view, possibly reducing the chance of the apps you're actually using getting killed by iOS.