YouTube Shorts does not yet support thumbnails. Therefore, you cannot use a custom thumbnail for YouTube Shorts.
Click on the settings (▼) at the top right corner of the slide and press the "Set as Thumbnail" button. The slide set as a thumbnail will also be used on the Home Screen, making it convenient to find your created works.
Click the settings (▼) on the upper right side of the slide and press the “Download” button to save the image file to your computer.