Well, it depends on what are these banner ads which you want to embed int your swf: swf animation files, images or texts.
With texts - it is a simple matter. I don't know components, but you may ask some freelance programmer to make it for you for some 30$.
With images - it is also a simple matter if the images are located on your server. If not - there are some restrictions (flash does not allow to view external images), but it is possible bypass it. Though this requires additional programming.
As with animated swf files - it is also not very hard to write swf preloader (as the one i offer for preloading tw tours), but better the swf files are located on your server.
Sorry if i didn't help you with developing thoughts. Also i think that finding such the app and using it might be hard, because that flash app should load ads according to scene names. So, the app should be oriented at using it with TW.
My Tourweaver components: http://www.optitecha.lt/categories/3