This is an interesting question. I don't have a definitive answer, but here is some pertinent information.
In the foreword to the book, the fictional (and pathologically self-important) Kinbote suggests reading the notes first, then the poem (with the help of the notes), and then the notes again:
Other notes, arranged in a running commentary, will certainly satisfy
the most voracious reader. Although those notes, in conformity with
custom, come after the poem, the reader is advised to consult them
first and then study the poem with their help, rereading them of
course as he goes through its text, and perhaps, after having done
with the poem, consulting them a third time so as to complete the
picture. I find it wise in such cases as this to eliminate the bother
of back-and-forth leafings by either cutting out and clipping together
the pages with the text of the thing, or, even more simply, purchasing
two copies of the same work which can then be placed in adjacent
positions on a comfortable table
These instructions are not necessarily Nabokov's, however. Rather, they are used to illustrate Kinbote's ludicrous self-importance.
That said, Nabokov agrees with Kinbote that re-readings are important. In Lectures on Literature, he writes:
When we read a book for the first time... the very process of
learning in terms of space and time what the book is about, this
stands between us and artistic appreciation.... In reading a book, we must have time to acquaint ourselves with it. We have no physical organ (as we have the eye in regard to painting) that takes in the whole picture and then can enjoy its details. But at a second, or third, or fourth reading we do, in a sense, behave towards a book as we do towards a painting.
So regardless of in what order you read the work originally, Nabokov does expect you to re-read and re-explore it.
And it is certainly the case that in these subsequent readings, Nabokov intends you to jump around, following his leads and cross-references. He built that kind of branching structure into Pale Fire intentionally. (It is clear from recurrent passages elsewhere in his oeuvre that Nabokov has an aesthetic preoccupation with this kind of branching structure.)
Lastly, Nabokov does make a comment specifically about Pale Fire which might shed some light on your question. In this interview can be found the following exchange:
INTERVIEWER: Mention of Swift moves me to ask about the genre of Pale Fire; as a "monstrous semblance of a novel," do you see it in terms of some tradition or form?
VN: The form of Pale Fire is specifically, if not generically, new.
This response doesn't tell us much, but it does reveal that Nabokov conceived of Pale Fire as being of a new form: at the very least it is a new species of novel (if not a new genus of literature). Maybe the differentia of this species, in Nabokov's mind, is its non-linearity or hypertextuality.