Yes, you can create a 'Gallery' with jor_sexylightbox.
But not a slideshow ... !
A slideshow will automatically slide the images, updating the screen every so seconds.
You can not do that with jor_sexylightbox!
But a Gallery, Yes, use ie. option (4) in the extension ... 'Gallery properties'
use option (3) in the extension ... 'IMAGE properties' ... and do ...
Give each image it's own window (=iFrame) ... BUT ...
set the image dimensions of all images to zero (image width/height = 0),
--- minus the image you do want to show of course.
Keep the 'group id' of all the images (windows) the same.
Does this help you ? .