If you hit the "preview image" and then don't either save or abort but hit the back button instead you end up with the image kind of floating out there on the server because you didn't follow it all the way through (this is addressed in the FAQ/Help section btw). Those "lost" abandoned images are purged every night at 2:00am system time.

What is the file size of the thumbnail you are trying to upload? It has to conform to all the size limits which is listed in red on the upload page.