that would not work to good, because it would not load the game in game mode, so you must make the menu on the load game function load the game you want to load example: if i wanted to load happy world (the game) all i would have to do is have mouse button down on actor (in the menu) loadgame from file "happy world.exe" and then make the menu an .exe an' exprot it to a folder and make ur game an .exe file and export it to the same file and make a shortcut on ur desktop to the game menu.
there is an harder way that uses only one game to do it all, but i am never on the computer that long to type it, so i hope my idea works for ya'