The built-in preloader (via Show loading indicator in the Document Inspector) should show up just fine in wordpress exports.
If you are using a custom preloader, this is typically done by modifying the HTML page. In order to do this, you’ll need to manually modify the OAM to get inside and change the .html page. Since it is a zip, you can change the extension and then unzip it. There are special instructions to rezip when done. After the upload, you will need to use the iframe display method for the hype wordpress plugin so the HTML is displayed.