For FancyBox to show images, in an gallery (with the arrows left/right) for example, it needs links to them all. Else it cannot create the slides. So to get what you want, you will need to insert links to all the images in your post.
There are different ways to do this but the easiest would be this:
1. when editing the post, switch to the Text tab
2. find the code that represents first thumbnail that you embedded in the post and insert this code after it :
<div class="fancybox-hidden">
[gallery link="file"]
</div>
3. save
4. go to Settings > Media and switch the option Autogallery to “All in one gallery”
From now on, clicking that first thumbnail will open up the large version of the image but also allow to click through to the other attached images.
One problem you might encounter: that first image might appear twice in the lightboxed gallery. This can be resolved by redefining the gallery shortcode to not include that same first image again…
Hope that helps ??
