You should have at least the following:
/tf/custom/yourhud/materials/vgui/replay/thumbnails/health_over_bg.vmt // fixed path to vtf
/tf/custom/yourhud/materials/vgui/replay/thumbnails/health_over_bg.vtf // custom bg image
/tf/custom/yourhud/resource/ui/hudplayerhealth.res // modified hud file
/tf/custom/yourhud/info.vdf // hud { ui_version 3 }
In theory the above should work.