Neither. Some better versions:
- Are you sure you want to stop loading the page?
- The page has not finished loading yet. Are you sure you want to cancel/stop the loading? (The second best option, in my opinion.)
- The page is still loading. Are you sure you want to cancel/stop the loading? (The best option, in my opinion.)
- Do you want to cancel/stop the loading?
You can get rid of the first part in both of your sentences: "The page was not fully loaded" and "The page has not been fully loaded."
Both past tense would be wrong, as they stand for something that happened before, and that would not make much sense.
Why? Simply because the user will only stop the loading because it is taking too much time, i.e., the page is taking too much time to load/download. In more simple words: why and how can you cancel a downloading that has already finished?
Also, it doesn't matter for how long a page has been loading. Whenever you are pressing the "stop" button, the page is still in the process of downloading/loading.
But in case you want to go with your version. I would ask you to chose a better sentence or pick one from the aforementioned examples.
BTW, "fully loaded" sounds awkward.
Note: Let's wait for some agreement/disagreement on this answer. I had a hard time explaining this and still cannot explain very well. Sorry for the trouble.