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Redirecting to a new form using the thank you page should open the new form in the same lightbox:
As far as I know, it should not escape the lightbox while redirecting to the new form.
it does escape the lightbox unfortunately
I did some more testing and it looks like it may not be possible using the redirect. However, if you include a link to the second form in a custom thank you message:
If they click the link from the thank you message, it will open the form in the same lightbox.
Other than that method, I do not see a way to have the form open in the same lightbox.