Damn, I'm sorry you're running into that problem. The only thing I can think of as to why that would happen is something going wrong in the graphics pipeline while loading another room.
If you're playing on browser that's probably because of how ill-optimized game maker HTML exports are.
If you've downloaded the game and you're running into that problem I'm sorry to say it might be a matter of the strength of your hardware. If the issue isn't resolved lemme know here and I can issue you a refund!