There is no automatic preview. You need to create the screenshot yourself and place it in the theme/child theme folder named screenshot.png
The recommended image size (currently) is 1200px wide by 900px tall, however the screenshot will only be shown as 387×290. It is over-sized to allow for high-resolution viewing on HiDPI displays. Note that as of version 4.7.4, the bottom ~18% of this image will be cutoff so keep logos or other graphics centered.
For the latest info see:
http://codex.wordpress.org/Theme_Development#Screenshot