We introduce a least-squares Fourier frame method for solving nonlocal diffusion models with Dirichlet volume constraint on arbitrary domains. The mathematical structure of a frame rather than a basis allows using a discrete least-squares approximation on irregular domains and imposing non-periodic boundary conditions. The method has inherited the one-dimensional integral expression of Fourier symbols of the nonlocal diffusion operator from Fourier spectral methods for any d spatial dimensions. High precision of its solution can be achieved via a direct solver such as pivoted QR decomposition even though the corresponding system is extremely ill-conditioned, due to the redundancy in the frame. The extension of AZ algorithm improves the complexity of solving the rectangular linear system to O(Nlog2N) for 1d problems and O(N2log2N) for 2d problems, compared with O(N3) of the direct solvers, where N is the number of degrees of freedom. We present ample numerical experiments to show the flexibility, fast convergence and asymptotical compatibility of the proposed method.