Can you show a screenshot of what you are seing? Your explanation isn't quite clear. Are you sure you have a full size photo and not an actual thumbnail? What do you see when you click on the (i) information panel in the bottom of the right hand toolbar?
I don't understand how a picture would help, but I'll include one anyways. When I import what looks like just the RAW files into Lightroom, myterious thumbnails are also imported. However, these thumbnails are completely invisible anywhere on my computer. They do not even appear in preview until my RAW files have finished importing to Lightroom. See pic included.