Here are the steps that worked for me.
1. Add the PDF file to jAlbum.
2. Ensure it's not linked: right-click -> Convert link to copy
3. Open the file location: right-click -> Show in the filesystem
4. Save (move) the poster image here as JPG
5. Rename it to have the same base name as the PDF with extension .thm
It seems only JPG's work, and placing the replacement image along with the linked files won't work either.
Attached screenshot