I link my colour choices to photos of that colour and save. The thumbnail links soon disappear and I do it all over again, only to have them disappear again.
Are you following the information for variations? How to Add Variations for Your Listings – Etsy Help
Yes, I have been doing this for a very long time. This has only been happening recently. It seems that whenever I make a sale, the linked thumbnails disappear. There is definitely something wrong.
It's a known bug that Etsy don't seem to want to fix. The links between the images and the variations get broken when the listing renews or relists after a sale. I suggest adding a key/index (numbers or letters) to your images.