This works "out of the box" (with or without lightbox) by nesting a slideshow widget into a composition widget (or a composition into a composition).
Where can I find a example of this?
Just look at this quick and dirty example: Homepage
You can download the .muse file directly from this site.
The document consists of a composition widget, configured as a lightbox, with a slideshow within.
The composition triggers are filled with an image.