location of Photos thumbnail files

What did you select? Can you make a screenshot of the preference pane showing what you selected?

 How to take a screenshot on your Mac   

(⌘⬆︎3) Command-Shift-3 Capture the screen to a file

(⌘⬆︎⌃3) Command-Shift-Control-3 Capture the screen to the Clipboard

(⌘⬆︎4) Command-Shift-4 Capture a selection to a file

(⌘⬆︎⌃4) Command-Shift-Control-4 Capture a selection to the Clipboard

(⌘⬆︎5) Command-Shift-5 Invoke new screen grabber

Hello Stephen Funck and welcome to Apple Support Communities.

It appears that you may be trying to access the system location for images you have designated to be part of the Mac's screensaver as a way to retrieve some version of photos that have otherwise been deleted.

~/Library/Screen Savers/

With the Finder active, press and hold the Option key on the keyboard whilst clicking the Go menu in the main menu bar at the top of the screen. As long as Option is pressed, you'll see an option called Library. Click on that. This will take you to the User Library (the ~ in the file path above). Navigate to the folder called Screen Savers. If you have saved any images for a custom screen saver, you'll find them in that folder.

Cheers.

There may also be a folder

~/Library/Desktop Pictures

or /Library/Desktop Pictures/

Go to the System/Desktop & Screensaver/Desktop preference pane and see what you selected as the source of the rotating Desktop pictures:

You could try to make screenshots of the empty Desktop with the key combination ⇧⌘3to save the Desktop picture at least at the display resolution.

You're using your entire Photos library as the source of the rotating Desktop pictures.

They are in your Photos library. Open the library with Photos and you'll have them all right there.