I managed to set up a scene with three lights and (maybe some extreme) camera settings that produces the desired result after export.
However, in the viewport the objects look completely overcast and pure white. What I didn't realize is the fact that Toolbag will use the viewport to grab the thumbnail, rather than the first shot you see on export.
This doesn't make a lot of sense to me, for obvious reasons. And I'm also a bit surprised about the fact that I can't seem to define a custom thumbnail (although I can see that artists might be tempted to enhance those, so there might be an argument for maintaining consistency here)
Now is there a way to fix the thumbnail, without having to go back and redo the whole lighting and camera setup?