Just add modal: true
to your options and you are all set.
Something like :
$(".fancybox").fancybox({
helpers : {
overlay : {
css : {
// semi transparent overlay so you can have a glimpse
'background' : 'rgba(0, 0, 0, 0.35)'
},
locked: false // allows scroll the parent page
}
},
modal: true // impossible to close ;)
}).trigger("click");
See JSFIDDLE