You can listen for pageshow event and set the loading message specific to that page.
Sample code:
<!DOCTYPE html>
<html>
<head>
<title>jQuery Mobile Sample</title>
<meta name="viewport" content="width=device-width, initial-scale=1">
<link rel="stylesheet" href="http://code.jquery.com/mobile/1.0.1/jquery.mobile-1.0.1.min.css" />
<script src="http://code.jquery.com/jquery-1.6.4.min.js"></script>
<script>
$("#page1").live("pageshow",function(){
$.mobile.loadingMessage = "Loading message for page1";
});
$("#page2").live("pageshow",function(){
$.mobile.loadingMessage = "Loading message for page2";
});
$(".showBtn").live("click",function(){
$.mobile.showPageLoadingMsg();
setTimeout(function(){$.mobile.hidePageLoadingMsg()},2000);
});
</script>
<script src="http://code.jquery.com/mobile/1.0.1/jquery.mobile-1.0.1.min.js"></script>
</head>
<body>
<div data-role="page" id="page1">
<div data-role="header">
<h1>Page1</h1>
</div><!-- /header -->
<div data-role="content">
<a data-role="button" class="showBtn">Show loading message</a>
<a data-role="button" href="#page2">Go to page 2</a>
</div>
</div><!-- /page -->
<div data-role="page" id="page2">
<div data-role="header">
<h1>Page2</h1>
</div><!-- /header -->
<div data-role="content">
<a data-role="button" class="showBtn">Show loading message</a>
<a data-role="button" href="#page1">Go to page 1</a>
</div>
</div>
</body>
</html>
A demo here - http://jsfiddle.net/SugTr/
Edit - An alternate version that uses a single pageshow listener for all pages and targets each page using switch statements - http://jsfiddle.net/SugTr/1/
Edit 2 -The loading message will be shown by the jqm framework,only if you are trying to load a page which has been created as a separate html file.If you have all your data-role="page" divs within a single page,that means jqm framework will not show any loading message.However you can manually show it in the pagebeforeshow handler using $.mobile.showPageLoadingMsg() and hide in the pageshow handler using $.mobile.hidePageLoadingMsg().But this does not make any noticeable change because the time duration for which the message stays on screen will be negligible.
Now coming to the case where actually a page loading message is being shown(you are loading a separate html),you can have specific loading messages by setting the $.mobile.loadingMessage just before the page is being loaded.
The anchor tag can be something like this
<a data-role="button" id="gotopage2" href="#'>Go to page 2</a>
and the corresponding script of this form
$("gotopage2).live("click",function(){
$.mobile.loadingMessage = "Loading message for page1";
$.mobile.changePage("page2.html");
});
Let me know if that helps.