To achieve that, I installed Fancybox for wordpress free plugin. After I created a map of the world and created a custom action with the following details:
I followed the Fancybox API details to build this code. It says the link type will be an image and I set the href as the Action Value for the entries of the map.
Check this image for more details on how the other option were set up in the administration panel of the Interactive World Maps plugin.