Display a Dialog over 2 different activities

I have a game menu, which is one activity, and an actual game, which is another activity.

I also have a custom Dialog class that displays a "Loading..." text and a spinning wheel. (I could add code, but it's almost identical to a normal ProgressDialog. Nothing special about it).

I wish to start displaying this dialog from the menu activity (when loading), and continue its display for after the transition to the game activity - until the game finishes loading.

Is that even remotely possible? I didn't fid a way to extend a Dialog over 2 activities. It seems to be bound to one.