Adding script

From Shopify Admin, go into Settings, click Checkout and find Additional Scripts section.

Shopify Additional Script Section

Insert this snippet

<script type="text/javascript">
    document.addEventListener("DOMContentLoaded", function() {
    var element = document.createElement('div'); = "margin-bottom: 10px";
    // Insert iframe video here
    element.innerHTML = `
    var sectionNode = document.querySelector('.section__content');

Now, record a thank you video and upload it somewhere (ex vimeo, youtube etc.) Copy the embed code and paste it around quotes for element.innerHTML. Save it and now preview the Thank You page on Shopify.

Shopify Thank You Page With Video

Success! Shopify additional script section is powerful, so you can also add liquid code. For example, you can show different video depending on order params, like if the order is >$50, show this video, if customer is first timer, show this video etc.