Open all the pictures on Photoshop, resize the first one (I’ve changed the size to 500x297).
Then drag the 3 nebula’s pics to the first pic and change the blending mode from Normal to Soft Light.
Now you have to make the 3 nebula image invisible (you have to click the “eye” icon).
Open the Animation bar (Window > Animation) and create a new layer.
Do this for 2 times. You should have 3 frames.
Now select the first frame on the animation bar and make visible ONLY ONE nebulosa pic. Then select the second frame on the animation bar, make invisible the nebulosa picture you made visible for the first frame and select another nebulosa pic. Do the same for the last frame.
Now change the delay time from 0.00 to 0.1
Go to File > Save For Web & Devices and save the gif :)
P.S.: If you don’t want the nebula pictures over your subject select the Eraser Tool and erase them.
That’s how your gif should look like: