Many of the lock screen pics are save in the C:\Windows\Web folder, but themes may be stored elsewhere such as in the C:\Users\Username\AppData\Local\Microsoft\Windows\Themes\ folder but you must make sure you've selected ‘Show hidden files & folder’ option from the Explorer Folder Options. Or if you've enabled "Windows Spotlight", the folders may be located elsewhere in the This PC\C:\Users\[YOUR USERNAME]\AppData\Local\Packages\Microsoft.Windows.ContentDeliveryManager_cw5n1h2txyewy\LocalState\Assets folder. To view and access those particular pictures, follow the instructions in the link below:

http://www.laptopmag.com/articles/find-windows-10-lock-screen-pictures

Hope this helps.

Grif