MacBook Pro crashing when going to sleep

I have a recently purchased MacBook Pro (16-inch, 2019) that crashes when it goes to sleep. It doesn’t matter if I send it to sleep manually through the menu or by closing the lid, or if it goes to sleep by itself due to inactivity. It also makes no difference if it is plugged in to the charger or running on battery.

When I start it again I get a crash report that starts with:

panic(cpu 0 caller 0xffffff7f81b333c5): "UPSB(MacBookPro16,1): thunderbolt power on failed 0xffffffffn"@/AppleInternal/BuildRoot/Library/Caches/com.apple.xbs/Sources/IOPCIFamily/IOPCIFamily-370.141.1/IOPCIBridge.cpp:1398

Basically, when the computer tries to go to sleep the fans go to full speed for around a second and then it turns off completely. I have experienced something similar in my Bootcamp Windows where sometimes, after I turn it on from hibernate and it just loads the desktop: the fans do the one-second full blow and the machine shuts down, as if the power was just cut.

I have currently Big Sur installed, but the issue was there with Catalina too. I suspect it has something to do with the power management, but I have reset the SMC without any luck.

EDIT:

I found out that, sometimes, it looks like the computer has gone to sleep normally, but if I put my ear to it I can faintly hear the fan. If I leave it like that over night I usually have an empty battery in the morning.