Photo Shuffle Lockscreen Option is Showing a Preview of an Old Deleted Photo

When I go to customise my lock screen, it gives the option to shuffle photos as my lock screen. On the preview for that option it is showing an old photo that I deleted ages ago. I don’t want it to show this if I’ve deleted it it shouldn’t be stored anywhere in my phone.

How do I get rid of this photo being previewed when I view this option?