This sounds correct to me.
Vice City & its various multiplayer mods have an issue with randomly teleporting you to a specific set of coordinates right outside the Little Havana police station. Before this teleporting, a similar "Loading..." screen is shown. I believe there is some memory hack to work around this, but it was a side effect of patching another "issue". I don't think anybody knows why this happens.
I've never encountered such a "Loading..." issue in GTA3 or SA, but I've spent most of my time in Vice City.
Towncivilian, you can get it if GTA:SA teleport function won't work properly (when you fall off, after a while you re-spawn near)
Just set the graity to a too high value, it's kinda a ready-to-use LSOD.