Hi ericbraga
How this happened is a mystery, perhaps some sort of syncing, to remove that wallpaper, close the Settings App, open File Explorer, then in the Address Bar, paste this and hit Enter
%appdata%\Microsoft\Windows\Themes
In that folder is a file named TranscodedWallpaper delete that file
With regards to setting another image, you may not be able to do that if you are running an unactivated version of WIndows . . .