this_scene = bpy.context.scene
for marker in this_scene.timeline_markers:
this_scene.frame_set(marker.frame) #set the current frame to the frame of the marker
bpy.ops.render.render() #render an image at the current frame
is a good place to start.
It won’t do exactly what you want, (it’ll render each frame to the image editor instead of actually saving them out, and each one will over-write the previous one,) but you can adapt the basic structure to make it behave the way you want it to.
Personally I would probably adapt it to render a series of 1-frame animations (in which case use
I’ll let you figure out the rest however you want it.
I hope that is useful. Feel free to ask if you have more questions.