I suggest that you may select photos, as opposed to 'All Photos', by first going to the Alexa app on your phone, then select your Alexa device with the tab on the bottom right, then select your Alexa Show by name from the list.
Then go down in the Settings, to whether you see 'Home Screen Background'. Then you will be shown all the photos on your phone, and you may select one for the background.
Is the Photo app you downloaded 'Amazon Prime Photos, please? if so, I can instruct you as to what to do - but it is basically a matter of opening that app, then tapping on three-dot at upper right, choosing the option that should appear called 'create album', and giving it a name, then selecting photos for the album, then saving that selection as the album, then go to the Echo Show itself, open
Settings - Display - Background
and select Prime Photos,
then select the Album name you created.
I hope that this helps! Please let me know how it goes... Thank you.