I can't find any tutorials on making custom loading screens. I imagine the images need to be changed in S3PE but I am not sure how.

So I have a mod that does this, except it does the world ones too I guess. It's these files:

ATLAS_GameEntryMainMenu_00
ATLAS_GameLoadingScreen_00
ATLAS_NewGameLoadingScreen_00
ATLAS_TravelLoadingScreen_00

I guess you can work out which one(s) you want to change from the names, or at least trial and error. It's probably just GameEntryMainMenu? They are in BG fullbuild0

I made all mine to have the same border (from the edge) but I think they don't necessarily show up like that. I think the initial background one works as expected, though (I can't get into my game right now or I would check for you!)

Thank you for sharing this!