Yeah, I guess I've never thought much about this, but it depends. As I'm masturbating, they open and close at different points for different stimulation. I usually orgasm with them closed-ish? Haha, I'll have to pay attention next time.
I've been growing out of my childhood masturbation routine where I'd clench my legs together and tense them really hard, so I keep them apart. It's easier to orgasm during sex if you're used to having your legs apart while masturbating. Although sometimes I let myself tense.