As far as I know, it can't be done in PSP so it probably can't be done in PSG.
To do what you're asking would require that the software can set a "First Play" action and, most importantly, set an "End Action". The end action would be either a stop or exit command.
Most dvd authoring software can do what you're looking for. I found one called DVDStyler that is free. I've never used it (I use Adobe Encore) but I saw a tutorial on youtube that looks like it's not too hard to learn. And it appears it does what you need (but I didn't test it
You would want to output your slide show as a single video with all the effects and transitions included. Then open the authoring program to create the files for your dvd, preferably as an iso file. Then use burning software like Imgburn to create the dvd.
Here's a link to DVDStyler if you need it: https://www.dvdstyler.org/en/downloads
and a link to one of the youtube tutorials: https://www.youtube.com/watch?v=YSn0OtXKHfU
I can try and answer any questions you may have regarding the procedures needed.