I'm not sure if this is true for the Galaxy S6 Edge but I know previous Android devices use an "erase everything" feature to prevent unauthorized people from continuously trying to access your phone. So if you or he typed in the incorrect password too many times, this could be why it erased. It's conceivable that this could possibly happen accidentally while in a pocket but doubtful.
The above does not sound like what happened to you, given that it started erasing right when you turned on the phone, but it's the only thing that came to mind. And unfortunately, once that stuff is erased it is erased permanently, unless you were using a cloud storage app like Google Drive or Dropbox to save pictures and files to the cloud.
Please let us know what you discover!