FAssetThumbnail will create the thumbnail widget for you, so you’ll need to allocate one as well as an FAssetThumbnailPool object. You can see how this is all setup in SGenericAssetShortcut.
// In your Widget Header.
// In your Widget Construct method...
FAssetThumbnailPool = MakeShareable(new FAssetThumbnailPool(16, false));
MyThumbnail = MakeShareable(new FAssetThumbnail(Mesh, GenericAssetShortcutConstants::ThumbnailSize, GenericAssetShortcutConstants::ThumbnailSize, MyThumbnailPool));
If you ever want to know how some UI widget is setup, just turn on the Widget Reflector in the Dev Tools in the Editor and you can see exactly where / what a widget is made out of.