If you want to access each from a common menu, your best (and pretty much only) choice is to output a DVD or BluRay disc.
Just place the slideshows one after another on your timeline. Place a scene marker or main menu marker at the beginning of each and a stop marker at the end.
Each time your disc player reaches a stop marker, it will return to the main menu.
I was hoping I could save an image on hard disc as I do with a windows based software Auotrun Designer that I use for creating menus. This however does not have the flexibility of Premier.
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You can burn your DVD files to a folder using Share/To Disc/DVD and selecting the Burn to Folder option. This will create a VIDEO_TS folder with your DVD files in it.
If you use your computer's DVD player software and select the option to Open a Folder and then select the VIDEO_TS folder, it will play just like a DVD, with menus and all.
Unfortunately, this option is only available for DVDs and you can not create a hi-def BluRay that functions this way.
Thanks for the advice Steve - problem solved