How do I export selected images in Preview?

I am trying to export 2 PNG files from Preview as a single PDF. I choose "Select All" from the menu to ensure all images in preview are selected, but when I choose the "Export to PDF" option, the resulting PDF only contains the first image (rotated through 90 degrees).

When I select the "Export selected images" option, I get a dialog box which doesn't let me select anything. If I click the "Choose" button, Preview simply hangs and I have to force kill it.

What am I doing wrong?