The short answer to the question is that it can't be done through a Twiml Event however it can be done with a kind of hack using their REST API.
The question has already been asked on SO and the answer is available here:
Use Say verb to all Conference participants
Incase the question/answer is ever deleted/removed i've pasted it below:
Here's something that should resemble a good end-to-end solution.
First, the user dials in and you go through the standard prompts to get the PIN for the conference room and their name.
<?xml version="1.0" encoding="UTF-8"?>
<Response>
<Gather action="/conference/pin" finishOnKey="#">
<Say>Please the conference pin number followed by the pound key.</Say>
</Gather>
</Response>
<?xml version="1.0" encoding="UTF-8"?>
<Response>
<Say>Say your name and then press the pound key.</Say>
<Record action="/conference/name" finishOnKey="#" />
</Response>
Now, once you have the user's pin and recording, two things will happen; the response from the post to /conference/name will contain the verb, placing the user in the room:
<?xml version="1.0" encoding="UTF-8"?>
<Response>
<Dial>
<Conference>{conference ID}</Conference>
</Dial>
</Response>
...and, asynchronous to that, it will use the REST API to initiate a new call back into the conference room.
POST /2010-04-01/Accounts/{AccountSid}/Calls
From = {your conference phone number}
To = {your conference phone number}
SendDigits = wwww{conference PIN}#
Url = /conference/announce?name={name ID}
Now, the next bit gets confusing. Twilio will now be talking to your callback URL for the incoming end of the call, and the URL you specified above for the outgoing end of the call. Your incoming call handler will need to detect that the conference line is calling back into itself and behave differently; it will first need to respond with simple TwiML that allows the outgoing end of the call to enter the pin for the conference room.
<?xml version="1.0" encoding="UTF-8"?>
<Response>
<Gather action="/conference/announce-pin" finishOnKey="#" />
</Response>
The SendDigits parameter of the POST will provide the digits that bit of TwiML is expecting. That action should then respond by conferencing in the new call.
<?xml version="1.0" encoding="UTF-8"?>
<Response>
<Dial>
<Conference>{conference ID}</Conference>
</Dial>
</Response>
The last piece of the puzzle is the TwiML emitted by the URL you specified in the POST. That's the markup that will run once the loopback call is added to the conference.
<?xml version="1.0" encoding="UTF-8"?>
<Response>
<Play>/conference/name-recordings/{name ID}</Play>
<Say>has joined the call.</Say>
<Hangup />
</Response>
That markup runs, plays the caller's name and a message into the conference room, and then hangs up.