Each theme contains wallpapers for Home and Lock screens.
When you tapped Install a theme, make sure you granted write access to gallery.
How to Set Wallpapers from a Theme
Step 1. Download wallpapers from Themes app
Step 2. Open Settings
app and select Wallpapers
option:
Step 3. Select Stills
and choose downloaded wallpaper.
Step 4. Click on Set
and select Set Lock Screen
or Set Home Screen
depending on the theme. Done!