Patience is a virtue as Clanger stated.
You can't do it with NTL unless you go into the mounted image and take ownership of the default desktop wallpaper in C:\Windows\Web\Wallpaper and change it with your own Wallpaper pic - make sure the format fit - i use https://www.top-password.com/take-ownership-pro.html for this.
Find the default Wallpaper in the mounted image folder:
”NTLite folder”\Temp\NLTmpMount01\Windows\Web\Wallpaper\Windows\img0.jpg and take ownership of the file.
Then you can change it with your own Wallpaper.
What exactly didn't work?
The changing of the file isn't possible if you don't take ownership of the file. TakeownershipPro is free and very easy to use as it work from right-click menu in Windows Explorer in your mounted image too.
I replace Wallpaper in mounted Web folder everytime i do a NTL image before Apply and never had a problem.
I do remove Wallpapers (Themes) only leaving Wallpaper (Default) and it show as expected.