There is a small extension in the making that will allow you to upload your own arrow and close button style. At this point it’s still in a crude stage but I can send it to you if you like. It simply replaces the current style with a single alternative image to load gallery arrows and close button.
This new style (green, square) was designed by another user to fit his own site and it will most likely not fit your site’s style so you would have to replace that image with your own image holding your adaptation of the icons.
An example can be seen on https://demo.status301.net/ where the green square buttons are currently in use.
Let me know if you can work with that. Otherwise, you will have to wait until this is integrated into the main Pro plugin 🙂