I was having a similar problem with a custom taxonomy and came across this page. I have now fixed it, but I wanted to point out that the Taxonomy Slug was NOT the problem for me – see below:
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PREVIOUS SETTINGS (which prevented the featured image from showing)
Taxonomy Slug
iob_themes
Custom Rewrite Slug
themes
REST API base slug
themes
AMENDED SETTINGS (the featured image field now shows)
Taxonomy Slug
iob_themes
Custom Rewrite Slug
instruction-themes
REST API base slug
instruction-themes
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So, as you can see, I had already prefixed my Taxonomy Slug (iob_), but I needed to also amend the Custom Rewrite Slug and REST API base slug to fix it.
BTW, I chose the rewrite slug instruction-themes because the themes relate to sets of instructions, so it’s still a good choice.