Does selecting "delete thumbnails" actually delete "save as" images from your phone?I
Since you use Save as instead of Save target as, the image actually getting saved is the view created by firefox which is  of very low size that is less than 50kb.

So, some cleaner apps consider images with less than some size (say 60/100kb) as thumbnail and remove it.

Here, the same happened to you.

Next time, consider save link as or open image -> (and  when full image is loaded) Save image