Thumbnails are usually a 'hidden' folder, called .thumbnails and inside the folder called DCIM.
But these will only be thumbnails of the pictures and videos that you take with the device.
Other apps can also have their own hidden folders called .thumbnails.
A much easier way to find most of them is to use Simple Gallery Pro and set it to show hidden items.
(It is a great asset anyway.)
Any hidden pictures that are in a format that the app can read (and it can read many) will become visable.
The other good thing about this app is that it makes no thumbnails of its own.
The biggest (literally) problem with thumbnails is that the folders can become the largest folders on a device, and if you delete them and are using a stock gallery app, they will just reappear again.
Here is the app.
The way to prevent thumbnails from recurring is fairly simple.
Android will not allow two things in the same folder to have the same name.
So, you can use this to your advantage by finding the folder called .thumbnails and deleting it- then make a new file called .thumbnails in the same place.
(Note the use of FILE instead of FOLDER. Delete the folder, and create a file.)
Because you deleted the folder and made a file with the same name, the folder can no longer exist or be created.
Because the device is looking for a folder and not a file, it will not use the file.
As long as you do not use a cleaner app or anything else that deletes empty folders or files, this .thumbnails file that you make will act as a placeholder and remain empty.