How to find picture in Photos that shows up as wallpaper (after Systems Preferences work) in Mojave
Here's a different approach:
http://osxdaily.com/2011/11/20/show-the-location-path-of-current-wallpaper-in-mac-os-x/
In essence, type the following commands in Terminal.app:


Reveal the file path of the current wallpaper on the Desktop:

defaults write com.apple.dock desktop-picture-show-debug-text -bool TRUE; killall Dock
Once revealed, hide the file path from the Desktop:

defaults write com.apple.dock desktop-picture-show-debug-text -bool FALSE; killall Dock


It works this way on all recent macOS versions from 10.10 Yosemite onward (including Catalina).