I suppose from your answer that it is not possible with Harlowe..
No, you can suppose from my answer that I can't think of an easy way to archive the result you wish without either:
1. Overloading/extending some portion of the story format's Javascript engine.
2. Converting the loading of the said image & audio files into a Javascript based background process. (**)
3. Some combination of both 1 & 2.
(**) That's assuming you're not already using Javascript to asynchronously load your image & audio resources.
NOTE: The SugarCube story format has a 'loading' indicator like the one you want, but that story format was designed to include that feature as part of it's engine initialisation/loading process.