Hi,
Normally, when we need to prevent users to change the desktop background, we deploy a policy under User Configuration > Administrative Templates > Control Panel > Personalization >“Prevent Changing Desktop Background”.
In your situation , users change the desktop background through rename the picture i would recommend you :
Put the desktop background picture into a network share folder such as :\DC1\SHAREING
Give the authenticated users read permission on the shared folder, then users can't edit any thing within this folder.
And it will not affect the file from being set as the wallpaper through GPO.