Yes, you can do this, but you won't be able to record your jammimg while the previously loaded WAV file is being played back. You'll be able to hear your jammimg during playback but not record it.

Here are a couple of snips from the user manual:

Playback can be looped, so you hear one particular event over and over again, while you jam on other ideas to go with it.

To have additional .WAV’s available for playback from BackTrack, put them only in the USER folder/directory

BackTrack can not play files such as .mp3, .m4p, .AIFF, compressed or .WAVs that don’t match the file options
listed on the previous page