Hi @amnwtritaly!
I just tested from my end and I can see that the preview works as expected for the Custom HTML block.

Full Size: https://d.pr/i/QKRehu
Have you checked if the URL added to the iframe indeed supports iframe? Not all sites would work as expected, but you can use the following for testing:
<iframe src="https://example.com/" title="Iframe Example"></iframe>
PS: I see you’re actually using the HTML block on the Block Editor (not the Classic Editor plugin), so please create a topic on the general forums if you still need help with it. Feel free to add this topic link as a reference.
The code you provided is working in both cases (block and classic editor).
<iframe sandbox="allow-popups allow-scripts allow-modals allow-forms allow-same-origin" style="width:120px;height:240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0" src="//rcm-eu.amazon-adsystem.com/e/cm?lt1=_blank&bc1=000000&IS2=1&bg1=FFFFFF&fc1=000000&lc1=0000FF&t=lightnovelexpert-21&language=it_IT&o=29&p=8&l=as4&m=amazon&f=ifr&ref=as_ss_li_til&asins=8834911318&linkId=fe5ae8c557edae1f206362bb456e3e37"></iframe>
This kind of code is not supported, maybe?