The WordPress Gallery – open thumbnails as overlay

If I use the WordPress Gallery that comes with WordPress, how can I have those thumbnails opening as an overlay and not in a new page?

I have added

Easy Fancybox
jQuery Colorbox – making sure “Automate jQuery Colorbox for images in WordPress galleries” was ticked.
Lightbox Plus – linking image to media file

to no avail.

At the moment when I click on the thumbnail in the gallery, it opens that image on a new page, then when you click on that image, it opens it as an overlay. I want to cut out the opening of the image in a new window and go from thumbnail opening into overlay.

I am trying to avoid any plugins where you have to set up a separate galley and use a short code to add it to a page, I would like to make up the gallery in the actual post/page.