Why is my Lock and Home Screen wallpaper changes in the night on iPhone 11?

First, as MrHoffman states, see if the wallpapers have a specific Focus attached that automatically switch to it when enabled. I know the Sleep Focus by default will dim the screen when enabled. Hold on your Lock Screen when unlocked to open the Wallpaper Switcher, then swipe along and take a look at the bottom where a Focus name may be displayed.

To your second question, wallpaper options that appear in the Wallpaper Gallery cannot be removed. They most certainly don’t have to be used though.

Does the Focus have a wallpaper set?

https://appleinsider.com/inside/ios-16/tips/how-to-set-different-backgrounds-for-each-focus-mode-in-ios-16

shishirkant wrote:

… how to remove or delete the older wallpapers which are visible on Wallpaper section.

To delete the wallpapers—and there may be an easier way—tap the sleep button to go back to the login screen, long press on the wallpaper to get into the customization mechanism, swipe right or left until you get to a wallpaper you don't want, swipe it upwards, and select the trashcan icon that will be shown to confirm the deletion.

Deletion is really well hidden, unfortunately. I'd have expected a way to delete wallpapers in Settings > Wallpaper, but there does not seem to be a way to do that, at least as far as in iOS 18.5.

Here’s how Apple describes the customization (this is iPad, iPhone works the same):

Here’s the trash can that appears when at the Lock Screen after a long press, then slide upwards: