Unlike phonons in crystals, the collective excitations in liquids cannot be treated as propagation of harmonic displacements of atoms around stable local energy minima. The viscoelasticity of liquids, reflected in transition from the adiabatic to elastic high-frequency speed of sound and in absence of the long-wavelength transverse excitations, results in dispersions of longitudinal (L) and transverse (T) collective excitations essentially different from the typical phonon ones. Practically, nothing is known about the effect of high pressure on the dispersion of collective excitations in liquids, which causes strong changes in liquid structure. Here dispersions of L and T collective excitations in liquid Li in the range of pressures up to 186 GPa were studied by ab initio simulations. Two methodologies for dispersion calculations were used: direct estimation from the peak positions of the L/T current spectral functions and simulation-based calculations of wavenumber-dependent collective eigenmodes. It is found that at ambient pressure, the longitudinal and transverse dynamics are well separated, while at high pressures, the transverse current spectral functions, density of vibrational states, and dispersions of collective excitations yield evidence of two types of propagating modes that contribute strongly to transverse dynamics. Emergence of the unusually high-frequency transverse modes gives evidence of the breakdown of a regular viscoelastic theory of transverse dynamics, which is based on coupling of a single transverse propagating mode with shear relaxation. The explanation of the observed high-frequency shift above the viscoelastic value is given by the presence of another branch of collective excitations. With the pressure increasing, coupling between the two types of collective excitations is rationalized within a proposed extended viscoelastic model of transverse dynamics.