Hi,
Having done a bit of research, I can confidently say that you cannot set the stage of the business process flow with the help of a workflow or through basic configuration. You may have to evaluate achieving this though a Plugin(Custom Code).
Here's the high level design. Have a custom field on the Lead form to capture the Stage of the lead. Now fire a PostCreate Plugin to read the value on this field, and call the workflow process (business process flow). Use the UpdateRequest to update the Stage ID within your business process flow and you must be able to see the stage on the UI.
Hope this helps.