Normally images and thumbnails are shown on the PDF file. The images must be loadable from the internet so that the converter can find them. Some plugins prevent from loading images directly and they modify the image tags so that the images can’t be loaded by the converter. Check the images tags in your page and check whether you use such a plugin.
Sometimes developers who develops on localhost feels that there is something wrong with the images, because the images are not in the PDF file. The problem is that localhost is not visible to the converter and and thats why the converter don’t add the images to the PDF file.
If your site is running on a domain which is visible to the converter than the images will be added to the PDF file.