Because this issue has been already unsuccessfully brought up at this forum
, I decided to look into the question.
I have looked inside %SystemRoot%\system32\stobject.dll
This is a file, which executes and manages Desktop Slideshow.
And there are the following classes regarding Slideshow:
Slideshow_IsRunning, Slideshow_Refresh, Slideshow_Tick_Timer
When you click "Next desktop background" windows uses class "Slideshow_Refresh" and changes the wallpaper.
And I see no class or function, which could potentially show previous background
Possible solution would be to use other, non-microsoft software for this purposes, it if is available.