That's actually some great usability feedback! Unfortunately, currently there's no way to control where the "Close" button can go, but I think your version makes sense and our developers should look into this. I've submitted this as an idea for them to consider.
In the meantime, I apologize there's nothing you can do about it. There may be some free 3rd party photo galleries you can insert into your site using HTML (Insert > more > HTML)..