In Chrome, I can choose View Source (Ctrl+U) or use the Web Inspector (Shift+Ctrl+I) to view the 'New Tab' page. Those thumbnails are indeed screenshots of browser windows (and dynamically added to the DOM using JavaScript, so you won't find them when viewing the source of the page), as the source of such a thumbnail looks like (copied from Web Inspector):
<a class="thumbnail-container" tabindex="1" id="t1" style="left: 235px; top: 0px; " href="http://www.ns.nl/">
<div class="edit-mode-border">
<div class="edit-bar">
<div class="pin" title="Keep on this page"></div>
<div class="spacer"></div>
<div class="remove" title="Don't show on this page"></div>
</div>
<span class="thumbnail-wrapper" style="background-image: url(chrome://thumb/http://www.ns.nl/); ">
<span class="thumbnail"></span>
</span>
</div>
<div class="title">
<div style="background-image: url(chrome://favicon/http://www.ns.nl/); " dir="ltr" title="Dienstverlening voor iedereen die met de trein reist. › NS voor reizigers › NS reizigers">Dienstverlening voor iedereen die met de trein reist. › NS voor reizigers › NS reizigers</div>
</div>
</a>
I guess Safari does more or less the same, but I can't check this at the moment.