Solution 1
It can be easily done if you handle your page changes like this:
$.mobile.changePage("#second", {transition: "slide",reverse: true,changeHash: true});  
Basically you want to have changeHash set to false.
Working example: 
<!DOCTYPE html>
<html>
<head>
    <title>jQM Complex Demo</title>
    <meta http-equiv='Content-Type' content='text/html; charset=utf-8'/>    
    <meta name="viewport" content="width=device-width; initial-scale=1.0; maximum-scale=1.0; minimum-scale=1.0; user-scalable=no; target-densityDpi=device-dpi"/>
    <link rel="stylesheet" href="http://code.jquery.com/mobile/1.2.0/jquery.mobile-1.2.0.min.css" />
    <script src="http://code.jquery.com/jquery-1.8.2.min.js"></script>
    <script src="http://code.jquery.com/mobile/1.2.0/jquery.mobile-1.2.0.min.js"></script>    
    <script>
        $(document).on('pagebeforeshow', '#index', function(){       
            $(document).on('click', '#change-page', function(){   
                $.mobile.changePage("#second", {transition: "slide",reverse: true,changeHash: false});        
            });    
        }); 
    </script>
</head>
<body>
    <div data-role="page" id="index">
        <div data-theme="a" data-role="header">
            <h3>
                First Page
            </h3>
            <a href="#second" class="ui-btn-right">Next</a>
        </div>
        <div data-role="content">
            <div data-role="button" id="change-page">Change Page</div>
        </div>
        <div data-theme="a" data-role="footer" data-position="fixed">
        </div>
    </div> 
    <div data-role="page" id="second">
        <div data-theme="a" data-role="header">
            <h3>
                Second Page
            </h3>
            <a href="#index" class="ui-btn-left">Back</a>
        </div>
        <div data-role="content">
        </div>
        <div data-theme="a" data-role="footer" data-position="fixed">
        </div>
    </div>    
</body>
</html>  
Solution 2
If you don't want to handle it programatically you can made a slight change to your jQuery Mobile js file. First download uncompressed jQM js file and open it. I am talking about current version 1.3.1).
Look for a line 4730, but because this code changes from day to day if it is not in taht line then look for this code segment:
$.mobile.changePage.defaults = {
    transition: undefined,
    reverse: false,
    changeHash: true,
    fromHashChange: false,
    role: undefined, // By default we rely on the role defined by the @data-role attribute.
    duplicateCachedPage: undefined,
    pageContainer: undefined,
    showLoadMsg: true, //loading message shows by default when pages are being fetched during changePage
    dataUrl: undefined,
    fromPage: undefined,
    allowSamePageTransition: false
};
change it to :
$.mobile.changePage.defaults = {
    transition: undefined,
    reverse: false,
    changeHash: false,
    fromHashChange: false,
    role: undefined, // By default we rely on the role defined by the @data-role attribute.
    duplicateCachedPage: undefined,
    pageContainer: undefined,
    showLoadMsg: true, //loading message shows by default when pages are being fetched during changePage
    dataUrl: undefined,
    fromPage: undefined,
    allowSamePageTransition: false
};
Notice, the difference is: 
changeHash: false,
When you do it find some online tool and compress this js file.