To change the login screen background on macOS Catalina, you have to use the Terminal app and restart your Mac. If you can spare a few minutes, here’s how to change lock screen on Mac:
Find a JPG image
Rename the image to Catalina.jpg and drag it to the Downloads folder
Reboot your Mac while holding Command (⌘) + R
Select Utilities from the top menu and launch the Terminal
Enter: cp /Volumes/MacHD\\ -\\ Data/Users/your user name/Downloads/Catalina.jpg /Volumes/MacHD/System/Library/Desktop\\ Pictures/Catalina.heic
Restart the Mac
Go to Preferences > Users & Groups > Login Options and change any option