It appears that you can only do this with the REST API but not with the Twiml keyword.
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Generally speaking, you don’t make outbound interactive calls at all using TwiML. You can certainly use the Dial verb to connect a caller to another party, (http://www.twilio.com/docs/api/twiml/dial), but you aren’t interacting with the caller/callee for the duration of that dialed call (i.e., you can’t Say, Gather, etc…). The interaction picks up only after the Dial-ed call ends.
In short, initiate the call using the REST API, and then you can continue the interaction using TwiML as desired.