Yes, we can add a thumbnail in the dropdown using a plugin or can directly use in the options as well, it totally depends upon the design, can you share design once?
You can also include images in the "label" for a field and set the labels to the "left" using the Marketo form editor (under the Settings options on pg 2). This might not work as well to sub images in-and-out based on a user selection but it's another way to add images beside or atop a form field if they were a one-input-to-one-image kinda deal.
Using a Rich Text element instead (or several) would also give you the option to show/hide the images to display the one that matches the selection using the native visibility rules in the form editor (ex. Show "Image A" if "choice A" is "true", Show "Image B" if "choice B" is "true" ...)