I’ve yet to try out phpThumb... but I think the error is in how the file is specified in your phx call... you’ll want the whole path and file name included, and not just the file name cause then it will search your phpThumb folder.
I think you should put the main phpthumb.php / image.php file in the root of your folder (make sure your snippet points there too), and then slightly modify the EvoGallery code to also return a placeholder which has the complete path to use in your phpThumb call.
Put it in the assets/snippets/evogallery/classes/gallery.class.inc.php file, around line 205, as long as it is after the $item_phx declaration and before parsing the templates. Like so:
$item_phx->setPHxVariable('image_withpath', $this->config['galleriesUrl'] . $row['content_id'] . '/' . $row['filename']);
(note: untested)
Then instead of using [+filename:phpthumb.... use [+image_withpath:phpthumb....