check out
jmetest.game.state.TestLoadingGameState.java
that shows you how to make a loading bar, but I am not sure how to actually load things with the bar. Perhaps someone else knows the answer to that.
What I would guess would be to have that loading game state active over your actual gamestate and then as things initiate in the initGame and initSystem methods, update the loading game state to the level of loadedness 
that might work for you.
UPPP…