Java, designing a game main menu

I am making a game menu which looks like this:

1: New game 2: Save Game 3: Load Game 4: Continue Game 5: Exit Game

I am using switch and case statements to navigate through the menu. However, when the user chooses to "Continue game" my play method (which starts the game) runs from the very beginning and not from the paused state. I am not sure how on earth I should direct it to the state they paused in.

I hope you guys can help! I look forward for you reply! Thanks!