As far as I know techie007 is correct but I have a work around.
You will need to create an Action to do this.
Create a New Action. (make sure it is recording when doing the next steps)
Make the first step a "Snapshot" of your document (you want full document snapshot)
Then make your next step a undo.
Now when you undo use the action instead of CTRL-Z
The only downside to this is everytime you undo you make a snapshot. Very RAM intensive if you do a lot of undos.
I made a video of the steps. Hope the video makes sense => Video Here
Also this Article might help you some.
Hope this helps!
Update I found this out since I posted:
You can try non linear in the history options, but it can be confusing because it works totally different from linear history states. Learn More Here, Here, and Here.