The wallpapers default folder is /usr/share/backgrounds
The user added wallpapers goes to ~/.local/share/backgrounds
User added wallpapers appears with an "X" in settings-appearance, giving users the option to remove then (and occasionally losing a wallpaper added from a random place).
To persist an added wallpaper, open Files, type admin:// in address bar, type you root password (don't touch anything you don't know, your system may die), go to /usr/share/backgrounds, copy your image file. Then go to admin:///usr/share/gnome-background-properties folder, and double click zorin-os-18-wallpapers.xml`, type your root password, you'll find one <wallpapers> node, and various <wallpaper> nodes (understanding a node by a opening <> and closing </> tags).
Copy one of this nodes (starting in <wallpaper>, including all up to </walpaper>), paste it before the first <wallpaper> node, or after another </walpaper> node, edit the text inside <name></name> and <filename></filename> tags as shown bellow.
<wallpaper>
<name>YOUR_NAME_FOR_NEW_WALLPAPER</name>
<filename>/usr/share/backgrounds/FILENAME_OF_FILE_YOU_COPIED.jpg</filename>
<options>zoom</options>
<pcolor>#000000</pcolor>
<scolor>#000000</scolor>
<shade_type>solid</shade_type>
</wallpaper>
Your new wallpaper will appear ordered by the name tag the next time you open settings-appearance. Probably this file will be overwrited by updates, than should be a good idea to make a copy somewhere in your home folder to future edits, after checking that syntax haven't changed.
Repeat for each wallpaper you want to persist.