Weird. I have files properly saved and labeled in NX2 which show different thumbnails (other pictures I've saved at other times). Which is to say: I've got a picture of a given subject, say a Japanese castle. The file label reads just what it should read (precisely as I had saved it), but the thumbnail I see with my very eyes is one of my dog that I saved recently. When I open the file (double-clicking the dog image with the Japanese castle file name) the proper Japanese castle is active. When I then close the full-screen image, the dog reappears as if by magic, re-associated with the castle file.
Why this might be so eludes my limited intelligence.
I no longer use Capture NX2 myself, but I seem to remember having a problem like that - it was solved by clearing the NX2 cache or something similar. I'm sure a current user will be along soon to confirm (or correct) this