OK, I just made a 50th Wedding Anniversary clip for my parents and the Theater Package chose a cover picture of my father and my mother's best friend. Not good. Needless to say, I was motivated to change this. To do this, I did the following:
1. In Finder, click on Movies
2. Right-click on the "iMovie Theater" icon
3. In the drop-down box, click on Show Package Contents
4. Click on the Thumbnails folder
5. Paste in a .png file that you actually want to use as the cover shot for your iMovie
6. Find the offending thumbnail that you want to replace
7. Copy the ridiculously long file name of the offending thumbnail
8. Delete the offending thumbnail
9. Copy the ridiculously long file name of the offending thumbnail onto the name of your desired thumbnail
10. Go back to iMovie Theater and your cover shot should automatically be replaced. Really. I swear.
There may be ways to shorten steps 7-9, but this worked for me.