Ok then so you want S1 to be main power and its neon indicate main power is on regardless of anything else.
S2 you want to be supplied by S1, so that when S1 and S2 are closed the load lamp is on.
And you want S2's neon to indicate when load lamp is actually lit (taking into account bulb failiures).
You need some additional circuitry for that, to sense the load current of the load lamp, if the load lamp is drawing current then turn on the neon indicator for Sw2.
This requires some electronics I did a quick search butcouldnt come up with anything, there may be a simpler(ish) way of doing it with a relay,maybe someone will be along soon with an idea.
Edit: you could if it suits your requirements wire the circuit so that the neon indicates that the load lamp is healthy when the load lamp is off, so when the load lamp is off and the filament isnt open the neon would be on.