Number of thumbnails per page
You can change the number of thumbnails per page in the gallery by changing the number of columns and rows in the Thumbnails table section. You can find it on the Options step, the Thumbnails pages tab.
All thumbnails on one page
If you select Auto calculate in the Columns or Rows then all your thumbnails will be located on one page. The navigation menu is not added to the thumbnails pages in this case (unless you have a link back from the gallery in it).