For each video there is a fix set of 10 thumbnails. One custom thumbnail and 9 automatically extracted thumbnails.
These 10 thumbnails have fixed urls for each movie. Whenever you upload a new custom thumbnail, you replace the image referenced by the url for the custom thumb.
When a thumbnail is selected for a video, one of these urls (or the account default thumbnail) is picked as the new thumbnail. So no new urls are ever created, but which url is the selected one changes.
This may have implications if a customer is caching thumbnails in a CMS or other system.
The XML-RPC API method getMediaDetails(custom, mediaid, ['thumbnail']) can be used to fetch the current thumbnail url.