Note that showing the thumbnails would likely be simple enough. The whole desktop system needs a system for generating and maintaining those thumbnails too. Those systems are always complex and messy (remember thumbs.db?)

A dialog that opens every file in the directory to read the image and show it, won’t be very popular.

So implementing this feature isn’t a change to a dialog but an implementation of something akin to the windows thumbnail cache https://en.m.wikipedia.org/wiki/Windows_thumbnail_cache