It is not easy to remove the images that appear on the Lock Screen Settings Window.
The easiest method it to add more images until the image you want to delete falls off the end of the displayed images in the Lock screen settings window.
Otherwise, open File Explorer.
Paste this into the Address Bar and press Enter.
%localappdata%\Packages\Microsoft.Windows.ContentDeliveryManager_cw5n1h2txyewy\LocalState\Assets
In that folder, you should find many files with miscellanious alphanumeric names.
If you add a .jpg file extension to each one and then preview the file, you may be able to find the fie you are looking to delete.
Then remove the .jpg file extension form the other files you want to keep.