I had a search around for documentation because I was wondering the same thing, but I couldn’t find anything.
However, I did have a play around and this seems to have worked for me:
[wp_colorbox_media url="#my-html" type="inline" hyperlink="Click here for popup"]
<div style="display:none;">
<div id="my-html" >
<p>This is my <strong>HTML</strong> content.</p>
</div>
</div>