You can’t do that i believe. As nearly everything is being represented as actor; player controller, HUD etc. are all actors, you can’t interact without player controller, actors can’t exist without world - level, so level must be loaded.
Even main menus you usually see in UE3 games are levels. Dedicated server also loads level, but does not create renderer for it.
So either you have to add such functionality yourself, or create simple level for your needs.