Each style file contains a doc_thumbnail png image. You could edit the image in an image editor. To access it you would need to change rename the style file from .style to .zip. You could also replace the image with a new one but you would want to make sure the new image is exactly the same size and resolution as the existing thumbnail image.
The default thumbnails are created from a SketchUp file which, on the PC is found in Program Data/SketchUp/...Templates. You could open a copy of it and modify it with your style and export an image to use for the style thumbnail.
Or you could modify the model so you have a different appearance for the thumbnails for new styles going forward. I would keep a copy of the original StyleTemplate.skp around so you can go back to the original if you want. Note that won't change the existing style thumbnails so it's possible you could create a custom thumbnail model for just a limited set of styles if you wanted.
Screenshot - 2_5_2020 , 7_30_29 AM.png