You can do it like this:
On your first page, set the type to "Script + Text". The you can add script to play the sound. Play the sound as usual (including looping), but then add the second line which sets "continuesound" on the game object to true. That will keep the sound from being stopped when you change pages.
In script, it looks like:
play sound ("bee.mp3", false, true)
game.continuesound = true