[NAME] photos as favorites from Shuffle on iPhone

Yes, you can mark specific photos that appear in your iPhone's Lock Screen Photo Shuffle as favorites, but you cannot do it directly from the main Lock Screen layout. You must go into the wallpaper customization menu to reveal the option to view the photo directly inside your main Photos library. 

Try this

Wake your iPhone and unlock it using Face ID or Touch ID, but do not swipe up to open the Home Screen.

Press and hold down on the Lock Screen until the wallpaper gallery opens.

Tap the Customize button at the bottom of the screen.

Select the Lock Screen preview card on the left.

Tap the More (...) icon in the bottom-right corner of the screen.

Select Show Photo in Library from the pop-up menu. Your phone will automatically open the Photos app and jump straight to that exact image.

Tap the Heart icon at the bottom of the screen to add it to your Favorites album.

Swipe up to close your Photos app and tap Done / Cancel on your Lock Screen to return to normal.