I have not actually done this myself but I have seen plugins referencing the needed assets during their StartupModule.
From LoadingScreen plugin:
void FLoadingScreenModule::StartupModule()
{
[...]
// Load for cooker reference
const ULoadingScreenSettings* Settings = GetDefault<ULoadingScreenSettings>();
for ( const FStringAssetReference& Ref : Settings->StartupScreen.Images )
{
Ref.TryLoad();
}
[...]
Could be something you might be interested in.