LG G4 Showing Wrong 'Recovery Mode' Screen
You would need to choose and click the yes option in your screenshot twice:


If custom recovery is installed, you will boot into it
If you are on stock recovery , your device is wiped , i.e, factory reset (that's the only option )


See XDA source for more details, including installing custom recovery that gives you the option of advanced wipe and clean cache for flashing custom ROM. Without a custom recovery you can't flash custom ROM

Here are instructions for flashing custom recovery

Disclaimer: Never owned LG device, it's Google-fu