From @lucyleeow in matplotlib/matplotlib#17479 (comment):

Just looking into this, the problem with # sphinx_gallery_thumbnail_path is that it needs to be outside of the docstring, which makes it complicated for examples like annotation.py which is all docstring. Adding a code block under the docstring will work but will result in an empty code block at the end of the example.

@lucyleeow it seems like it would make sense to detect this case and not render it