I had success changing the class on the anchor to fancybox fancybox.iframe
.
<a class="fancybox fancybox.iframe" href="http://www.google.be/">This goes to iframe</a>
<script type="text/javascript">
$(document).ready(function() {
$('a.fancybox').fancybox();
});
</script>
No idea why this is the case but it worked for me.
Edit: also need to update to a recent version of jQuery