Put both icons into a frame under the same sprite. Ie. double click your play icon and open editor then look for small long window beside editor (usually below) with small play icon and then right-click in that window and choose "add new frame", right click the empty frame and navigate to your pause icon and add it as frame 2.
Now you will just need to use the action "change frame" in your events whenever you want one or the other.
You could also have one "spawn" the other sprite at its location and use hide action on other.. or have them both always present and use hide/unhide as needed.
My point is there are several ways to do what I think you are asking. Personally, I like using frames for things like this.