I think the article you linked to (http://support.jwplayer.com/customer/portal/articles/1407439-adding-preview-thumbnails) must have been updated since asking this question.  As of my posting JW Player supports using a single sprite that (as best as I can tell) only loads once the video starts playing.  So your VTT file looks something like:
WEBVTT
00:00.000 --> 00:05.000
/assets/thumbnails.jpg#xywh=0,0,160,90
00:05.000 --> 00:10.000
/assets/preview2.jpg#xywh=160,0,320,90
00:10.000 --> 00:15.000
/assets/preview3.jpg#xywh=0,90,160,180
00:15.000 --> 00:20.000
/assets/preview4.jpg#xywh=160,90,320,180
Except the example they provide isn't very good because you would want to use the same file (also it doesn't seem to like relative URIs).  What I do is have ffmpeg generate thumbnails every n seconds with a fixed width then combine them into a single image with imagemagick's convert with +append command.  Then knowing the length of the video (can be determined with ffprobe) and the fixed width of the individual thumbnails it is trivial to generate the VTT file.
After I typed this out I see the question is tagged with jwplayer6.  I am using version 7; it's quite possible this only applies to the newer version.  I'm going to go ahead and post anyway in case someone may find it useful.
Edit:  It looks like some other folks have a similar approach for generating a thumbnail sprite with a more in-depth explanation and reusable code for download.  My implementation details vary somewhat but the overall idea is basically the same.  Worth checking out.