Unfortunately, it is not possible to have the shared image's thumbnail displayed in the pop-up share window due to limitations imposed by Facebook on what data can be passed via their share URL. Only one thumbnail can be used per web page. (The shared link will still point towards the correct image within your gallery, though.)
The image used in the pop-up share window can be set using an Open Graph og:image <meta> tag in the <head> section of your web page, such as the following:
<meta property="og:image" content="http://www.example.com/images/thumbnail.jpg" />
In order to choose an image for use in your gallery page's pop-up share window, 'Edit' the gallery page and upload the image you wish to use on the 'Upload' tab and then 'Update' and 'Publish' your site.
An og:image tag will be automatically generated on the gallery page.