Well he did tell me (by email) that I can't do that. He also explained why:
"When I was originally developing ProGallery, I did have two 'set link' buttons for the thumbnail and lightbox images. However the process was reliant on people suppling matched pairs of images for the thumbnail and lightbox images. If one of the images were missing or could not be read, it threw the whole sequence out (the thumbnails would point to the wrong lightbox image). So to provide safeguards, I stuck with just a single image source for both the thumbnails and lightbox images. It was simpler and safer that way."
But he's thinking about offering something in the future.
Currently the recommended way is to use the CSV file but that doesn't appeal to me.
But with reduced file sizes the Image Gallery approach works pretty well. So I'm satisfied. Problem solved.