Good day Brian_Connor, thanks for your question. I am glad to be able to provide assistance to you today. As of the time being, directly saving the image from a generated theme is not possible but there is an option in which you can do a screenshot of image from the theme that is applied using the snipping tool and save it on your computer and for this direct option in saving an image from a generated image is that you can also send a feedback to the team that is working on Copilot via the Feedback Hub app by pressing Windows key + F and this should launch the app and hopefully this will be available in the future.
Regards,
Paul R.