I feel your pain. I have been down this road in trying to customize Gnome many times... What used to work, suddenly no longer does. What should work does not work.
Gnome is a firm believer that the user should not control UI Appearance. You can read much about this on Tobias Bernards blog.
I looked at themes I created for Gnome in the past - and that is indeed where they are stored: /usr/share/themes/THEME-NAME/gnome-shell/assets I checked with @Storm's themes. Same result.
The .css in the Zorin Gnome theme calls on #lockDialogGroup
The theme is wrapped as a gresource file, which must be unpacked, then repacked - which I do not remember off the top of my head how to do, but is likely simple with guides on the web that tell how.
Changing the .css from
#lockDialogGroup
resource:///org/gnome/shell/theme/login-background.png
to
#lockDialogGroup
resource:///org/usr/share/backgrounds/NEW-IMAGE-NAME.png
and placing your wallpaper in usr/share/backgrounds (be sure to adjust the above to the actual new image name), repacking the gresource, clearing the Shell Cache and restarting the service may work:
sudo update-initramfs -u
sudo systemctl restart gdm3