To elaborate a little bit seeing as this is the noob section... The loading you are seeing there is the emulator loading the actual game itself, this can take anywhere from a minute upward to tens of minutes depending on the game and how well the emulator has been tuned for that particular title. As our simian friend said there is no way to avoid it but it does usually go a bit faster on later launches since some of what it has to do on first boot is already done (compiling shaders etc..).
You mention specifically the startup theme but what that does is just display in front of the emulator itself loading up and can't tell whether the emulator has finished loading a rom or not, so sadly the startup theme doesn't paint over this type of loading. Hope this helps.