I am not aware of any way to do this effectively. The only thing that even comes close (and its a stretch) is the attempt to wrap subsequent videos in a iframe so the visual effect appears to be in the same window, but this is just a visual trick.
You also have to consider that doing so could violate some unknown TOS or required agreement between the plugin and the source. Meaning that maybe in order for the developer or Oxwall to use the API, the license might state that subsequent videos are accessed via the video site in order to improve their traffic flow SEO. Bypassing that requirement could violate that agreement.
Their might be a way to do this, but my gut tells me that it would be a hack job to the core or video files and after all of that my impression is that the results would be worse than they are now, or not to your satisfaction. Or worse it could open up a whole host of issues that you did not count on.
I hope someone can prove me wrong but i have learned to listen to my gut feelings on these things.