I can do this with AcePlayer:
First, play the video in AcePlayer.
Then, push the "power" button of iPhone to lock it. The video is AcePlayer is paused.
Now, to continue the playing of the video in Aceplayer:
Push the "play" button (the center button) of the "remote adapter" on the earphone and the video continues play again.
Of course, you must use the earphone with this method.