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Are you talking about the area I have highlighted in red with a red arrow pointing to it?
If so you may need to go to C:\Windows\Resources\Themes\THEME NAME folder and add a wallpaper folder with wallpapers in it, then go to the C:\Windows\Resources\Themes\THEME NAME.theme file and right click on it and go to Open with an open it with notepad scroll down to the area I have highlighted in red and you will have to add \wallpaper\WALLPAPER NAME with the .jpg or .png extension(you only need the name of one wallpaper)(be sure to save your changes) then restart your computer to see if it shows up.


I'm not sure what you're talking about in the second image you have posted.
Jerry