Was playing good sovereign, died, "oked" through menus to start a new game, and bang, HUD and nothing else.
With the current build of the game (0.23), the game within a game functionality is not in yet. So you will always see strange behavior in this way. This is also true of loading a game after you've started one, for the same reason. The game simply does not yet have code to cleanup everything and start a new session. You must first restart Elemental.
I know it sucks, but that's the deal for now. Please spread the word so I don't have to keep repeating it. 