As Tony says, no serious progress is lost when you hit New Game in the pause menu.
It's fair to say that the pause menu could use some work, though. Surely the first option being 'Continue (with the current playthrough)' instead of 'New game' would be more intuitive than the current solution. Very few people choose to start a new game in the middle of a playthrough, whereas most simply want to continue on after pausing the game. Giving them a clickable option to do so (besides hitting 'Esc'), would be nice.