It's your resolution set. The game works by default in 640x480 mode, however, if you set it for higher resolutions, it'll have a delay after loading screen (640x480) to change your resolution in the game (more than 640x480).
In short, if you do not want to have the delay, play on 640x480 resolution, so, the game doesn't need to change it after loading.
Hope it helps,
DK-DeeKay.