Previews are located here: ‘~/Library/Containers/com.gentlemencoders.nitro/Data/Library/Caches’. There is a folder for the File System and one for the Photo Library (which is used only when the Photo Library cannot make its own previews). The ~ refers to your home directory.
Please do not make changes to this folder – it is for the app’s internal use.
The image’s name should appear when the app has finished indexing the directory. The only case I have seen when a file name doesn’t appear (other than indexing not being done) is for Shared Albums in the Photo Library. So if you have a case that doesn’t work, please email me so I can troubleshoot it.
The app only stores its previews on the startup disk. This is a limitation of the app. It might change with time, but I can’t promise it.
You can also clear the caches in Settings but it will build them again as it needs them.