A warning: I haven't used the Slideshow Project, much, so I might be a bit off, here. The thing is, I'm not sure about the "from several albums" part. I've been trying this, though, and I can't find any way to add pictures in a custom order to other pictures in a custom order and keep the second one's order. Hmph. And, as you've found, this happens in Slideshow, too.
If I were doing this, I'd put all the pictures in a single album-- seems so much easier to organize. As you may already understand, pictures aren't exactly "in" an album. When you "put a picture into an album," its name is added to a list of pictures to display when the album is clicked, kind of like a music playlist, but for pictures. So two albums can both have the same picture name in their lists, and that picture will show up when you click either album, but, really, there's only one picture-- it's just on multiple lists. And when you remove a picture from an album, its name remains in the lists of other albums, and the file still remains in your Library.
So, you could drag all the pictures from their original albums to a single album, and the original albums will not change! Then you can order this congregate as you like.
So you could duplicate the first album, change the name of the duplicate to Slideshow Album, or something, and then select and add the second album's pictures. When you add pictures to a Custom Ordered Album, the added pictures go to the end, but, unfortunately, they are added in order of date-- as you've been discovering. So you'd have to rearrange the end pictures, and then repeat. I think I'd duplicate albums as I went along in case I messed up. You'd end up with a bunch of albums, but when you delete an album, none of the pictures that were on that album's list are deleted. So having extra albums is no problem-- you just delete the extras. Then, once you have a single album ordered as you like, you can make your slideshow.
Someone else may have a better idea, but this is what I have. What do you think?