According the changelog, this has been added in version 2.7 of the plugin:
Added: Setting to close fancybox when clicking on the overlay
But I can't find it in the Fancybox for WP settings, and I'd love to add this functionality, as the default behavior seems to be to ignore clicks on the overlay. I've tested on 2 different installations of WP (2.9-beta, and 2.8.6) and neither appears to have it.
Many thanks for an otherwise great plugin!