Hi, it sounds like there is a second light box active…
Indeed, that loading icon comes from prettyPhoto. I generally advise not to run two lightboxes on the same site. Besides making page load times much longer then they need to be, it is prone to conflicts.
Since prettyPhoto is part of the theme you might want to look for a theme option to disable the lightbox. If there is none, you might try to use prettyPhoto for all your lightbox needs. It should be possible to use it for video just as FancyBox.