Windows 10 has added an update in the latest version allowing users to see where the photo came from. In the top-left corner of each lock screen there is now a short description of the location. Clicking the description opens a Bing search with the location's name.
In addition, the "Like what you see?" button now shows the location as well:

If you're unable to see the helpful tip, follow this guide from SuperUser. Finally you may try checking Wiki's article on Microsoft Spotlight which lists many of the previously used locations.
If you are not finding the images in the typical locations, you likely have turned on. Spotlight offers random images on the lock screen, as well as other features. Windows Spotlight
These Windows Spotlight images aren’t stored in the same location as regular Windows wallpaper, however, so here’s how you can find them.
The images are hidden deep, so you will need to change settings before you can view them. To do this, open File Explorer and go to the tab. On the far right is an View button, click it. Options
In the window that opens, select the tab. Under View, select Advanced Settings, then click Apply and then OK to close the open window.Show hidden files, folders and drives
Now it is time to navigate to the following directory (which was hidden before).
This PC > C: > Users > [Your User Name] > AppData > Local > Packages > Microsoft.Windows.ContentDeliveryManager_cw5n1h2txyewy > LocalState > Assets
In this directory you will see a bunch of files without extensions. These are the incognito image files. These are images of various resolutions to meet the needs of multiple devices screen sizes. You can copy the files to another location and rename them to have the jpeg extension, then you can open them with your default image viewer. jpeg
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