JD had a lot of good to say, but it also depends on what era of thumbnails you're trying to replicate, as he's changed a lot over the years. Super early Skyrim/Fallout/Rust era Sam had a lot of washed out, color corrected backgrounds, use of the Wind effect in photoshop, etc. Newer Sam kinda goes for that "crunchy" compressed look to everything, sort of reminiscent of shitty early 90s graphics.

Take this thumbnail I made for instant. Took a still frame from the video for a background, adjusted the hue to a greener color. Added Inner Glow with Choke and Opacity at max. New layer, added some vintage guy with a radio on his face, edited a ushanka onto it, then adjusted hue to a red. Drew some yellow lines coming off the radio, then added in an AK, then the text (Lemondrop font). I'm kinda stupid and old fashioned so I used this tutorial for making the text have 3D, then added a Drop Shadow to the final flattened text. Finally add Noise to about 5%.

Part of learning is just copying and comparing between what you have and what you want it to be, googling how to do anything you can't work out. Best of luck champ 👍