Override theme function for menu callback
After a lot of googling, I found a nice solution to my problem. 

First, one needs to register its menu with callback (in a custom module): 

function MY_CUSTOM_MODULE_menu() {
  $items = array();
  $items['my_link_url_path/%'] = array(
    'title' =&gt; 'content title', 
    'page callback' =&gt; 'MY_PAGE_CALLBACK',
    'page arguments' =&gt; array(1),
    'access callback' =&gt; TRUE,
    'type' =&gt; MENU_CALLBACK,
   );
   return $items;
}


Then the HTML content you want to be in the lightbox has to be printed in the callback function (you can define this function in your custom module file) as follow:

function MY_PAGE_CALLBACK($MY_PASSED_ARGUMENT = NULL) {
  print 'This is my HTML content displayed in the lightbox: Arg = ' . $MY_PASSED_ARGUMENT ; 
}


The trick comes from the fact that you do not return, but print directly the output. No theme layers will be processed. 

Just add your link somewhere (with the lightmodal rel attribute if you are using Lightbox2 (http://drupal.org/project/lightbox2): 

&lt;a href="/my_link_url_path/345" rel="lightmodal"&gt;Click me&lt;/a&gt;


This will display 'This is my HTML content displayed in the lightbox: Arg = 345' in a lightbox. 

Note: don't forget to empty the cache when changing your menus...