[core] Ensure thumbnail output directory exists (#7985)

Closes #8203
Authored by: Riteo

yt_dlp/YoutubeDL.py

@@ -4221,7 +4221,7 @@ def _write_subtitles(self, info_dict, filename):
         return ret
 
     def _write_thumbnails(self, label, info_dict, filename, thumb_filename_base=None):
-        ''' Write thumbnails to file and return list of (thumb_filename, final_thumb_filename) '''
+        ''' Write thumbnails to file and return list of (thumb_filename, final_thumb_filename); or None if error '''
         write_all = self.params.get('write_all_thumbnails', False)
         thumbnails, ret = [], []
         if write_all or self.params.get('writethumbnail', False):
@@ -4237,6 +4237,9 @@ def _write_thumbnails(self, label, info_dict, filename, thumb_filename_base=None
             self.write_debug(f'Skipping writing {label} thumbnail')
             return ret
 
+        if not self._ensure_dir_exists(filename):
+            return None
+
         for idx, t in list(enumerate(thumbnails))[::-1]:
             thumb_ext = (f'{t["id"]}.' if multiple else '') + determine_ext(t['url'], 'jpg')
             thumb_display_id = f'{label} thumbnail {t["id"]}'