you need to set folder options to show hidden folders and files
then its at This PC > C: > Users > [Your User Name] > AppData > Local > Packages > Microsoft.Windows.ContentDeliveryManager_cw5n1h2txyewy > LocalState > Assets.
See half way down the page here: https://www.tekrevue.com/tip/find-windows-spotlight-lock-screen-images-windows-10/