When Pens are saved, they enter a queue to have a screenshot taken of them. It's not instant, but it shouldn't take too long. The screenshots are kept in two sizes.
You can access them at a URL structure like this:
Large Image Preview
Small Image Preview
Note those are just examples. You'd replace the username and slug for any given Pen.
Those image preview URL's will redirect to where the images are actually stored. If you are counting on getting an image back, use the URL in the format above. Where it redirects to may change (if the Pen changes and is resaved) but those URL's should always resolve to a real image.