blue Triangle

The blue triangle has a z-index value of 9995, the overlay is 503. So, for this specific fix, just add it up to 9996.

To make sure it overwrites plugin’s CSS, use this code.

html .mfp-wrap {
	z-index: 9996;
}

If on a child theme already, drop it in child theme stylesheet. If not, install any of the Custom CSS plugin.
http://wordpress.org/plugins/search.php?q=custom+css