Ah, my bad, you’re right, that approach doesn’t work. When we generate thumbnails, we use only downloaded images but images linked in an anchor tag aren’t downloaded.
An alternative here might be to add to core something similar to what @merefield recommended, but wrapped as a generic oneboxer for lazy-loaded iframes. Maybe add a new site setting lazy_loaded_iframes, and the onebox can initially output the image from the OG tag (which should get picked up by the thumbnails), and when clicked, a little bit of JS replaces the image with the correct iframe (similar to the Youtube iframe replacement).
One tricky detail here is that the image used and the iframe should have the same height, otherwise this can introduce unwanted jumps when scrolling/navigating posts.