The thumbnail image that immediately appears when taking the screenshot (appears at bottom-left of the screen) simply gives immediate access to the screenshot for markup. If you don’t tap on the thumbnail before it disappears from view, the screenshot is automatically stored as a photo in your Camera Roll.
If you tap on the image, it will expand to fill the screen - and you will see the markup tools. From here you can markup and save, or dismiss - and either save or delete the screenshot. When saving the image from the Markup screen, you can choose to save either as a Photo or a PDF file.