In order to use Cloudinary's images as featured images, make sure to upgrade to the latest version of Cloudinary's WP plugin.
You first need to insert an image to your post using Cloudinary's media library and to save a draft of your post. Then click on the 'Set featured image' link of WordPress. This will open the standard media library of WordPress that now includes also the Cloudinary images you previously inserted to your post. Select the image you want and that's it.
The featured image will be uploaded using Cloudinary's generated transformed version of your images, and delivered through a fast CDN.
Another option is to go to your existing WordPress media library, and click on the 'Upload to Cloudinary' link of the relevant media items. The images will be uploaded to Cloudinary and cloud-based WordPress media items will be automatically added to your media library. Now you can select these images as featured images.
In addition, you can use 3rd party plugins like Featured Image via URL. With this plugin you can easily enter any URL of your Cloudinary images (including transformed ones) to set it as a featured image for your post.