I found where Windows 8 caches the current custom lock screen image below.
The image is saved in the hidden LockScreen_A (the letter A will vary since each custom image is assigned a new letter in alphabetical order) system folder below. The S-1-5-21.... folder in red below will vary since it's an unique number per user account on each PC.
I set this door image as my lock screen, then deleted it, and still showed on my lock screen.
To be able to open and see the image in the folder above, you will need to:
1. Take ownership (option three) of the SystemData folder, and apply to containing folders by checking the Replace owner of subcontainers and objects box.
2. Click on OK until out of Properties.
LOL, looks like we both found it.