Using Ubuntu 8.04... When file is created as *.OGV or *.ogv, no thumbnail is created, even though the Open With association is correct.  Changing the file name to *.OGG or *.ogg will immediately create a thumbnail, and changing the file name back to *.OGV or *.ogv will not remove this thumbnail, once it is generated.

*.OGV (or *.ogv) is the recommended filename extension for Ogg Theora, according to the Theora Format Specification, Appendix A: MIME Type (page 139).

http://theora.org/doc/

Nautilus should handle thumbnail generation of Ogg Theora encoded videos, with *.OGV filename extensions, just as it does with *.OGG filename extensions.