It seems like I've been searching forever and can't find anything that natively supports it.
If one doesn't exist, then maybe point me in the direction of adapting one? My js knowledge is a little limited.
A quick google search of [jquery modal lightbox provided [url="http://spoonfedproject.com/jquery/extensive-list-of-jquery-lightbox-modal-plugins/"]Extensive list of jQuery lightbox / modal plugins](http://www.google.co.nz/search?q=jquery+modal+lightbox) in which is found several that seem to meet your needs.
I'm checking that they support HTML in the captions by adding some italics to the caption text.
After the first couple I stopped checking, but you can continue to check out the rest of them if none of these meet your needs.
So fancy box did accept html in its caption? I tried inserting a link and had no luck.
Thanks for the research.
Caption links work for me. Show us what you're doing.