I want to set each Album's thumbnail to be the first image, by alphabetical order. I could go into each album and set it, but that could be a lot of work. Is there an automatic method for this?

No, there is not such a function. The code to do this would be very similar to that in Album::getAlbumTumbimage() but where you see $this->getImages(0, 0, 'ID', 'DESC'); you would change the 'ID' and perhaps the 'DESC' parameters to the field you wish to use (folder or title?) Perhaps this is an enhancement that Zenphoto should provide--the ability to select a field for the ordering.