You can connect a second display only over the GPIO - something similar to this setup should get your 2 independent displays - one for normal gaming via HDMI and a 2nd one over the connected over SPI (GPIO pins).
The 2nd display can be used for showing the images (via fbi) or even videos (via omxplayer).
I think I found another solution--I had the same problem. I converted the videos using Handbrake on its normal preset, and now they run fine with both sound and video. They run best using the OMX Player. I only converted about 70 videos, but they all show the previews correctly now.
Something like this happened before with the videos from Stephen Selph's scraper, so I just thought I would try it and it worked!