You can't do that in Premiere Pro, but I think it can be done in Encore.
Verify this in the Encore forum http://forums.adobe.com/community/encore
But... add your video to an Encore timeline and set it as First Play (no menu) and then set the end action of the video to itself
Your video will play when you insert the DVD in a player, and will go back to itself when done
How do I render and export a clip that will continuously play back when played.
Played on/with what?
You cannot export a loop with Premiere but you can set your software player to loop.