Are there two album pages? You should be taken back to the page that you came from. So if you clicked on a thumb on page 2 of the album you should return to page two.
If this is not working it is most likely the result of the page calculations. Be sure that the normalize columns function is being used appropriately for the theme.
Ah, I didn't know that! Yes, I have 2 pages of thumbnails "index" pages (that's what I consider them). Now I know.
What I did is cleared my Browser history, something I normally don't do very often. It made a diffrence for some of the behaviours of ZP. (I normally clear cache only)