I had the same problem initially, but upon inspection of my lightbox.js file found that the required paths WERE in place, but that the "default" is, in fact, incorrect.
just changing mine to
"/themes/chili-light2/images/close.gif" instead of
"themes/Chili-Light2/images/close.gif" worked. Apparently slashies and capitalization are important...?
edited to add: lovely theme, very nice work, and a huge thank you!