In Ubuntu 18.10, the default theme got a significant overhaul and as you may know, everything is written in CSS. This makes it easy to customize the look and feel of just about every aspect of your desktop environment.

To change the background, open /usr/share/gnome-shell/theme/gdm3.css in your favorite editor and jump to the rule named #lockDialogGroup.

Now you can change it to something like this, just replace the path to your preferred image. Please note that the fourth leading slash is the root slash of your path, as the protocol is written with triple slash file:///.

#lockDialogGroup {
  background: #000 url(file:////path/to/your/wallpaper.jpg);
  background-size: cover;
  background-position: center;