Hover your mouse over the gallery images and click on the Edit Images button
Go to Change Content
Click on Add Images or Videos button
Select your video from the list and click on Use the Item button at the bottom to add it to the page
NB! If you haven't uploaded your video yet, you need to click on the Import from: Vimeo | YouTube button on the left side, paste your video URL, and click Import. Once the video is visible in your library, click on it to select it, and then click on Use the Item button at the bottom to add your video to the page.
If you need help with your video, such as finding a correct URL, or changing your video privacy settings, please feel free to check the following detailed tutorial.