What we'd actually be talking about'd prolly be a resident program that sat between whatever you were running and the hardware. OS-style. A firmware fiddle **might** do it, but I doubt it (I think firmware unloads, then the game loads. Or at least, whatever is left in mem from firmware becomes dead as it were).
It'd be nice if anyone came up with a way, but you'd have to be careful about allowing the user to configure the combo to get you into the menu - else you could find yourself in a position where one thing worked as a menu for the prog you were running and the same for the layer menu. Or something.
No idea how it'd be done though. Perhaps someone else does... Almost seems like I'm talking about a GP32 emu for GP32 with savestate ability. Which would be odd...