Well putting an image into a .sav file is another story, you will have store them in Bytes which are even slower.
It should be fine saving them on a disk inside the Saved folder, if the image is like 64x64, i wouldnt be consern for memory.
In your Loading UI, when you will be loading a row, you need to use a FunctionTimer to load one row at a time (and not just ForEach everything at one go). Since reading from disk is slow around 2.0ms for an SSD.
In short, like you said, just load .sav like you would, then in the background slowly load your image thumbnail just like webpage do. (or like in Travelers Rest, in the shop when scrolling item)
Downside will be, user can go into their folder and modify but in most case that not really an issue.
The issue will be their size, since during steam cloud save, these need to be uploaded, when you exit Valheim for example, you can see a delay before the game close, it just saving everything before closing.