i dont think there is any way around that. as abellan said, it will open to the last app that was on your screen. therefore, if you receive a call when locked, that is technically the last app you use, therefore the screen you will see when unlocked.
i know, not the answer you were looking for, but not much you can do about it except to suggest a change and submit it to apple, here:
http://www.apple.com/feedback/iphone.html