You just put the bandana on initially on with the leash 'unslipped'/straightened out, then loop back through to get your noose back, and you're good to go. They're staying opened unless you PULL that sucker straight to remove the bandana. As a bonus they are MUCH more visible on the ground, in grass or dirt, both to the leash runner and to me at the end of a run (I like mine on the ground for one of mine).
This rig sounds awesome. Can you post a close-up picture, so that I can confirm what I'm picturing is reality?
What I am picturing from your description is:
a) fold square bandana into triangle (or maybe 2 triangle depending on bandana size), and sew some of the 2 short edges of the triangle.
b) undo/unthread your slip lead, feed it through the created bandana tunnel, and redo/rethread slip lead.
Or alternatively for slip leads that can't come loose because of say a leather joint for the handle or slip stop, fold square bandana into a triangle wrapping it over a fully opened loop of a slip lead, and sew the 2 short edges of the triangle mostly shut, thereby trapping the leash in the bandana and preventing the slip leash from completely closing.