I am currently running version 4.11.3 of KDE and there seems to not be any easy way of changing the default background used by the lock screen. The default background is set by the current Plasma theme and in Oxygen this is the Elarun theme which looks like this:
The easiest way to change the wallpaper would be to overwrite the /usr/share/wallpaper/Elarun/content/images/2560x1080.png file with another png file. This however requires root privileges and would affect all users on the computer.
Another was to fix this for only your user is to follow these steps:
The path ~/.kde might be different on your system, if it's not .kde it might be .kde4 depending on your KDE version.
Create a new wallpaper theme
mkdir -p ~/.kde/share/wallpapers/MyWallpaper/contents/images cp myCustomLockScreenImage.png ~/.kde/share/wallpapers/MyWallpaper/contents/images/1366x768.png
Change the filename 1366x768 to match your resolution.
Create the file ~/.kde/share/wallpapers/MyWallpaper/metadata.desktop with the follow content:
[Desktop Entry] Name=MyWallpaper X-KDE-PluginInfo-Name=MyWallpaper
Now create/modify your plasma theme metadata file, I use the Aya theme so for me the file is ~/.kde/share/apps/desktoptheme/Aya/metadata.desktop
If the file does not exist you need to create it.
Add these options to the file:
[Wallpaper] defaultWallpaperTheme=MyWallpaper defaultFileSuffix=.png defaultWidth=1366 defaultHeight=768
Change the width and height to match your resolution, it must match the name of the image in the wallpaper theme.
Now lock the screen and the new background should be there.