Create a submenu with a layout that supports thumbnail buttons.
Add a video to the submenu page.
Hover over the button and click the settings icon next to it.
Click the "Thumbnail" button in the lower-right of the window that pops up.
Select your preferred option for the thumbnail (Reset to Default, Upload Image, Use Current Frame). The default image is the poster frame of the video. If you choose "Use Current Frame", it will capture a frame from the current time in the player and use it as the thumbnail.