it seems to me that it's a BUG
the best to do is to report it here
http://code.google.com/p/fancybox/issues/list
as a workaround, you may want to add this to your custom script:
'onCleanup': function() {
var myContent = this.href;
$(myContent).unwrap();
}
I guess it should be used for inline or ajax content only