Threading/Paging in web services

Does anyone know if it is possible to call a web service to return some data and after the data has been returned the web service carreis one fetching more data. So it starts a new thread that carries on after the call has been completed?

I am trying to write a web service to retrieve data from the database that can return the first page only on large data sets and then fetch the rest into cache after the call, so any subsequent pages will be fetch quickly.