This behavior is not supported by the default control. When you click on a tumbnail and you use List & Page mode you go to "Details" mode of the control which does not render thumbnails.
You could extend the external template of List & Page mode - GalleryListViewItem.ascx
and implement a Repeater where you list all thumbnails. You can get the Thumbnails url by using ThumbnailUrl
property of IContent object( please refer to Generic Content API
To show the thumbnail image you can use a HyperLink where you set href attribute
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