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.